Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
- Author
- BENTAHAR, Imen1 ; BOUCHARD, Bruno2
[1] Université Paris Dauphine, CEREMADE, Pl. du Marchal de Lattre de Tassigny, 75775 Paris, France
[2] Université Paris VI, LPMA, and CREST, Paris, France - Source
Stochastic processes and their applications. 2007, Vol 117, Num 5, pp 655-672, 18 p ; ref : 11 ref
- CODEN
- STOPB7
- ISSN
- 0304-4149
- Scientific domain
- Computer science; Mathematics
- Publisher
- Elsevier Science, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- 60H30 90A16 93E20 Hedging options Transaction costs Viscosity solutions primary 90A09 secondary 60G44
- Keyword (fr)
- Analyse multivariable Application Caractérisation Coût transaction Fonction contrôle Fonction valeur Loi probabilité Marché financier Modèle stochastique Prix Probabilité Processus stochastique Solution viscosité Temps continu Problème contrôle Volatilité stochastique
- Keyword (en)
- Multivariate analysis Application Characterization Transaction cost Control function Value function Probability distribution Financial market Stochastic model Price Probability Stochastic process Viscosity solution Continuous time Stochastic volatility
- Keyword (es)
- Análisis multivariable Aplicación Caracterización Coste transacción Función control Función valor Ley probabilidad Mercado financiero Modelo estocástico Precio Probabilidad Proceso estocástico Solución viscosidad Tiempo continuo
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01H Stochastic processes
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01I Stochastic analysis
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 18688084
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.spa.2006.09.010 
https://dx.doi.org/10.1016/j.spa.2006.09.010
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