Risk measure pricing and hedging in the presence of transaction costs
type: Item
instance of: scholarly article
title: Risk measure pricing and hedging in the presence of transaction costs
zbMATH Open document ID: 1210.91059
DOI: 10.1007/BF02831976
author: Ju Hong Kim
published in: Journal of Applied Mathematics and Computing
publication date: 2007-04-05T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 5140495
zbMATH Keywords: risk convex measure
zbMATH Keywords: option pricing
zbMATH Keywords: incomplete markets
zbMATH Keywords: transaction costs
zbMATH Keywords: utility indifference price
zbMATH Keywords: quasi left-continuous
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf02831976
OpenAlex ID: W2068796403
description: scientific article; zbMATH DE number 5140495