Explicit solution to the multivariate super-replication problem under transaction costs.
type: Item
instance of: scholarly article
title: Explicit solution to the multivariate super-replication problem under transaction costs.
zbMATH Open document ID: 1083.91510
author: Bruno Bouchard
author: Nizar Touzi
published in: The Annals of Applied Probability
publication date: 2003-05-06T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.aoap/1019487506
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 1906283
zbMATH Keywords: transaction costs
zbMATH Keywords: hedging options
zbMATH Keywords: dynamic programming
zbMATH Keywords: viscosity solutions
MaRDI profile type: Publication
OpenAlex ID: W2271468679
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DOI: 10.1214/AOAP/1019487506
description: scientific article; zbMATH DE number 1906283