Convex Duality with Transaction Costs
METADATA ONLY
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Author / Producer
Date
2017
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
METADATA ONLY
Data
Rights / License
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
42 (2)
Pages / Article No.
448 - 471
Publisher
INFORMS
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Model-free hedging; Semi-static hedging; Transaction costs; Conditional full support; European options
Organisational unit
03844 - Soner, Mete (emeritus) / Soner, Mete (emeritus)
Notes
Funding
153555 - Martingale Optimal Transport and Robust Hedging (SNF)