Convex Duality with Transaction Costs
Author:
Affiliation:
1. Department of Statistics, Hebrew University of Jerusalem, Jerusalem 91905, Israel
2. Department of Mathematics, ETH Zurich, 8092 Zurich, Switzerland; and Swiss Finance Institute, 8006 Zurich, Switzerland
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Computer Science Applications,General Mathematics
Link
https://pubsonline.informs.org/doi/pdf/10.1287/moor.2016.0811
Reference23 articles.
1. A trajectorial interpretation of Doob’s martingale inequalities
2. Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty
3. Model-independent bounds for option prices—a mass transport approach
4. The face-lifting theorem for proportional transaction costs in multiasset models
5. Consistent price systems under model uncertainty
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