Robust hedging with proportional transaction costs - Research Collection

Metadata only

Author

Dolinsky, Yan

Soner, H. Mete

Date

2014-04

Type

Journal Article

Citations

Cited 21 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1007/s00780-014-0227-x

Journal / series

Finance and Stochastics

Volume

18(2)

Pages / Article No.

327 - 347

Publisher

Springer

Subject

European options; Robust hedging; Transaction costs; Weak convergence; Consistent price systems; Optimal transport

Organisational unit

03658 - Schweizer, Martin / Schweizer, Martin
03844 - Soner, Mete / Soner, Mete

Notes

Received 4 February 2013, Accepted 20 September 2013, Published online 4 March 2014.

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Citations

Cited 21 times in Web of Science

ETH Bibliography

yes

Altmetrics