Risk arbitrage and hedging to acceptability under transaction costs-Reference-Cited by-同舟云学术

Risk arbitrage and hedging to acceptability under transaction costs

Published:2020-12-30 Issue:1 Volume:25 Page:101-132
ISSN:0949-2984
Container-title:Finance and Stochastics
language:en
Short-container-title:Finance Stoch

Author:

Lépinette Emmanuel,Molchanov Ilya

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/s00780-020-00434-3.pdf

Reference36 articles.

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3. Černý, A., Hodges, S.: The theory of good-deal pricing in incomplete markets. In: Geman, H., et al. (eds.) Mathematical Finance. Bachelier Congress 2000, pp. 175–202. Springer, Berlin (2000)

4. Çetin, U., Jarrow, R.A., Protter, P.: Liquidity risk and arbitrage pricing theory. Finance Stoch. 8, 311–341 (2004)

5. Cheridito, P., Kupper, M., Tangpi, L.: Duality formulas for robust pricing and hedging in discrete time. SIAM J. Financ. Math. 8, 738–765 (2017)

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