Large liquidity expansion of super-hedging costs
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Publication:3168200
DOI10.3233/ASY-2011-1089zbMath1263.91017arXiv1208.3785OpenAlexW3098594662MaRDI QIDQ3168200
Nizar Touzi, Dylan Possamaï, Halil Mete Soner
Publication date: 29 October 2012
Published in: Asymptotic Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1208.3785
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Related Items (3)
Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Option prices under liquidity risk as weak solutions of semilinear diffusion equations ⋮ Superreplication when trading at market indifference prices
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