Superreplication when trading at market indifference prices
Author:
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/s00780-015-0278-7.pdf
Reference28 articles.
1. Bank, P., Kramkov, D.: The stochastic field of aggregate utilities and its saddle conjugate. Proc. Steklov Inst. Math. 287, 14–53 (2014)
2. Bank, P., Kramkov, D.: A model for a large investor trading at market indifference prices. II: continuous-time case. Ann. Appl. Probab. 25(5), 2708–2742 (2015). doi: 10.1214/14-AAP1059
3. Bank, P., Kramkov, D.: A model for a large investor trading at market indifference prices. I: single-period case. Finance Stoch. 19, 449–472 (2015)
4. Barndorff-Nielsen, O.E., Shephard, N.: Non-Gaussian Ornstein–Uhlenbeck-based models and some of their uses in financial economics. J. R. Stat. Soc., Ser. B, Stat. Methodol. 63, 167–241 (2001)
5. Broadie, M., Cvitanić, J., Soner, H.M.: Optimal replication of contingent claims under portfolio constraints. Rev. Financ. Stud. 11, 59–79 (1998)
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