The scaling limit of superreplication prices with small transaction costs in the multivariate case-Reference-Cited by-同舟云学术

The scaling limit of superreplication prices with small transaction costs in the multivariate case

Published:2016-12-02 Issue:2 Volume:21 Page:487-508
ISSN:0949-2984
Container-title:Finance and Stochastics
language:en
Short-container-title:Finance Stoch

Author:

Bank Peter,Dolinsky Yan,Perkkiö Ari-Pekka

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00780-016-0320-4.pdf

Reference22 articles.

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3. Blum, B.: The face-lifting theorem for proportional transaction costs in multiasset models. Stat. Decis. 27, 357–369 (2009)

4. Bouchard, B., Touzi, N.: Explicit solution of the multivariate super-replication problem under transaction costs. Ann. Appl. Probab. 10, 685–708 (2000)

5. Cvitanić, J., Pham, H., Touzi, N.: A closed-form solution to the problem of super-replication under transaction costs. Finance Stoch. 3, 35–54 (1999)

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