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Dual representation of superhedging costs in illiquid markets · Study

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ArticleDual representation of superhedging costs in illiquid markets

Teemu Pennanen2011

Article2011

Dual representation of superhedging costs in illiquid markets

25 citations·0/0 files stored·Mathematics and Financial Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1988Theory of Financial Decision Making.2002Convex measures of risk and trading constraints 2004Stochastic Finance 1979Mathematical methods of game and economic theory 1992Convex Duality in Constrained Portfolio Optimization 2002Monte Carlo valuation of American options 2004Pricing American Options: A Duality Approach 1995Martingales and Arbitrage in Securities Markets with Transaction Costs

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2010SUPERHEDGING IN ILLIQUID MARKETSarticle · 17 shared references 2011Convex Duality in Stochastic Optimization and Mathematical Financearticle · 11 shared references 2014Optimal investment and contingent claim valuation in illiquid marketsarticle · 11 shared references 2009Arbitrage and deflators in illiquid marketsarticle · 10 shared references 2009Bid-ask dynamic pricing in financial markets with transaction costs and liquidity riskarticle · 9 shared references 2015Hedging, arbitrage and optimality with superlinear frictionsarticle · 9 shared references

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Year2011

Typearticle

Published2011-12-01

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11579-012-0061-x

openalex_workW2028116748

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