Dual representation of superhedging costs in illiquid markets

Author:

Pennanen Teemu

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference42 articles.

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2. Çetin U., Jarrow R.A., Protter P.: Liquidity risk and arbitrage pricing theory. Financ. Stoch. 8(3), 311–341 (2004)

3. Cvitanić J., Karatzas I.: Convex duality in constrained portfolio optimization. Ann. Appl. Probab. 2(4), 767–818 (1992)

4. Dalang R.C., Morton A., Willinger W.: Equivalent martingale measures and no-arbitrage in stochastic securities market models. Stoch. Stoch. Rep. 29(2), 185–201 (1990)

5. Delbaen F., Schachermayer W.: The Mathematics of Arbitrage. Springer Finance. Springer, Berlin (2006)

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