Duality and Convergence for Binomial Markets with Friction

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Author
Dolinsky, Yan
Soner, Metecc
Date
2013-07
Type
    Journal Article
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-b-000040827
Publication status
published
External links
Journal / series
Finance and Stochastics
Volume
17(3)
Pages / Article No.
447 - 475
Publisher
Springer
Subject
Super-replication; Liquidity; Binomial model; Limit theorems; G-expectation
Organisational unit
03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)  
Notes
Received 15 June 2011, Accepted 27 February 2012, Published online 10 July 2012. It was possible to publish this article open access thanks to a Swiss National Licence with the publisher
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Cited 21 times in Web of Science
ETH Bibliography
yes
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