On the possibility of hedging options in the presence of transaction costs
type: Item
instance of: scholarly article
title: On the possibility of hedging options in the presence of transaction costs
zbMATH Open document ID: 0883.90018
author: Shlomo Levental
author: Anatolii V. Skorokhod
published in: The Annals of Applied Probability
publication date: 1997-08-25T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 1051770
zbMATH Keywords: continuous-time
zbMATH Keywords: hedging a generalized call option
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1034625338
OpenAlex ID: W2080910730
cites work: DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
cites work: The pricing of options and corporate liabilities
cites work: A note on super-replicating strategies
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: Q3996259
cites work: Q3997782
cites work: There is no nontrivial hedging portfolio for option pricing with transaction costs
DOI: 10.1214/AOAP/1034625338
description: scientific article; zbMATH DE number 1051770