Pathwise superhedging under proportional transaction costs
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11579-022-00322-8.pdf
Reference28 articles.
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3. Avellaneda, M., Levy, A., Parás, A.: Pricing and hedging derivative securities in markets with uncertain volatilities. Appl. Math. Finance 2, 73–88 (1995)
4. Bayraktar, E., Burzoni, M.: On the quasi-sure superhedging duality with frictions. Finance Stoch. 24(1), 249–275 (2020)
5. Bayraktar, E., Zhang, Y.: Fundamental theorem of asset pricing under transaction costs and model uncertainty. Mathematics of Operations Research 41(3), 1039–1054 (2016)
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