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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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