Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
- repec:dau:papers:123456789/1533 is not listed on IDEAS
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- de Angelis, Tiziano & Ferrari, Giorgio, 2014. "A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis," Center for Mathematical Economics Working Papers 477, Center for Mathematical Economics, Bielefeld University.
- Cosimo Munari, 2020. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Papers 2009.04151, arXiv.org.
- Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
- Giorgio Ferrari & Hanwu Li & Frank Riedel, 2020.
"A Knightian Irreversible Investment Problem,"
Papers
2003.14359, arXiv.org, revised Apr 2020.
- Ferrari, Giorgio & Li, Hanwu & Riedel, Frank, 2020. "A Knightian Irreversible Investment Problem," Center for Mathematical Economics Working Papers 634, Center for Mathematical Economics, Bielefeld University.
- Ferrari, Giorgio & Riedel, Frank & Steg, Jan-Henrik, 2016. "Continuous-Time Public Good Contribution under Uncertainty," Center for Mathematical Economics Working Papers 485, Center for Mathematical Economics, Bielefeld University.
- Jan Kallsen & Johannes Muhle-Karbe, 2011. "Existence of shadow prices in finite probability spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 73(2), pages 251-262, April.
- Koichi Matsumoto, 2007. "Portfolio Insurance with Liquidity Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 363-386, December.
- Kaval, K. & Molchanov, I., 2006. "Link-save trading," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 710-728, September.
- Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2016. "Hedging under an expected loss constraint with small transaction costs," Post-Print hal-00863562, HAL.
- Teemu Pennanen, 2008. "Superhedging in illiquid markets," Papers 0807.2962, arXiv.org.
- Tomasz Zastawniak, 2024. "Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 137-149, June.
- Tang, Maoning & Qingxin, Meng & Bo, Wang, 2007. "On the pricing of American contingent claims under transaction costs and multiple risky assets," Chaos, Solitons & Fractals, Elsevier, vol. 31(2), pages 269-279.
- Molchanov, Ilya, 2006. "Multivariate risks and depth-trimmed regions," DES - Working Papers. Statistics and Econometrics. WS ws063815, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Cvitanic, Jaksa & Wang, Hui, 2001. "On optimal terminal wealth under transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 223-231, April.
- Ariel Neufeld & Mario Sikic, 2016. "Robust Utility Maximization in Discrete-Time Markets with Friction," Papers 1610.09230, arXiv.org, revised May 2018.
- Maria Arduca & Cosimo Munari, 2021. "Risk measures beyond frictionless markets," Papers 2111.08294, arXiv.org.
- E. Babaei & I.V. Evstigneev & K.R. Schenk-Hoppé & M.V. Zhitlukhin, 2018. "Von Neumann-Gale Dynamics and Capital Growth in Financial Markets with Frictions," Economics Discussion Paper Series 1815, Economics, The University of Manchester.
- Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2011. "On the existence of shadow prices," Working Papers hal-00645980, HAL.
- Andreas Löhne & Birgit Rudloff & Firdevs Ulus, 2014. "Primal and dual approximation algorithms for convex vector optimization problems," Journal of Global Optimization, Springer, vol. 60(4), pages 713-736, December.
- Jouini, Elyes, 2001.
"Arbitrage and control problems in finance: A presentation,"
Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
- Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
More about this item
Keywords
Transaction costs Hedging options Viscosity solutions;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:117:y:2007:i:5:p:655-672. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.