Duality and Convergence for Binomial Markets with Friction - Research Collection

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Author

Dolinsky, Yan

Soner, H. Mete

Date

2013-07

Type

Journal Article

Citations

Cited 11 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1007/s00780-012-0192-1

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 / Soner, Mete

Notes

Received 15 June 2011, Accepted 27 February 2012, Published online 10 July 2012.

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Citations

Cited 11 times in Web of Science

ETH Bibliography

yes

Altmetrics