Risk measure pricing and hedging in the presence of transaction costs

DOI10.1007/BF02831976zbMath1210.91059OpenAlexW2068796403MaRDI QIDQ874350

Ju Hong Kim

Publication date: 5 April 2007

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02831976

zbMATH Keywords

option pricingincomplete marketstransaction costsutility indifference pricequasi left-continuousrisk convex measure

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

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