Super-replication with nonlinear transaction costs and volatility uncertainty
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Publication:303967
DOI10.1214/15-AAP1130zbMath1415.91276arXiv1411.1229MaRDI QIDQ303967
Selim Gökay, Peter Bank, Yan Dolinsky
Publication date: 23 August 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.1229
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (9)
Scaling limits for super-replication with transient price impact ⋮ SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ Duality Formulas for Robust Pricing and Hedging in Discrete Time ⋮ Quantile hedging in a semi-static market with model uncertainty ⋮ Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty ⋮ Option replication with transaction cost under Knightian uncertainty ⋮ Super-replication on illiquid markets—semistatic approach ⋮ Martingale transport with homogeneous stock movements
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