A note on super-replicating strategies

DOI10.1098/rsta.1994.0058zbMath0822.90020OpenAlexW2085366146MaRDI QIDQ4698068

J. M. C. Clark, Mark H. A. Davis

Publication date: 14 May 1995

Published in: Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.1994.0058

zbMATH Keywords

transaction costsBlack-Scholes option pricingsuper-replicating portfolios

Mathematics Subject Classification ID

Related Items (11)

Explicit solution to the multivariate super-replication problem under transaction costs. ⋮ General indifference pricing with small transaction costs ⋮ On the possibility of hedging options in the presence of transaction costs ⋮ Explicit characterization of the super-replication strategy in financial markets with partial transaction costs ⋮ The super-replication problem via probabilistic methods ⋮ Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem ⋮ An endogenous volatility approach to pricing and hedging call options with transaction costs ⋮ Option pricing with transaction costs using a Markov chain approximation ⋮ The scaling limit of superreplication prices with small transaction costs in the multivariate case ⋮ Option replication with transaction cost under Knightian uncertainty ⋮ Pricing a European Basket Option in the Presence of Proportional Transaction Costs

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