✦ LIBER ✦

Efficient Option Replication in the Presence of Transactions Costs

✍ Scribed by Lionel Martellini

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Robust multiperiod portfolio management

✍ Dimitris Bertsimas; Dessislava Pachamanova 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 213 KB

Hedging of the European option in discre

✍ Marek Kociński 📂 Article 📅 2004 🏛 Springer 🌐 English ⚖ 327 KB

Pricing of the American option in discre

✍ Marek Kociński 📂 Article 📅 2001 🏛 Springer 🌐 English ⚖ 180 KB

A super-replication theorem in Kabanov’s

✍ Luciano Campi; Walter Schachermayer 📂 Article 📅 2006 🏛 Springer-Verlag 🌐 English ⚖ 264 KB

Risk measure pricing and hedging in the

✍ Ju Hong Kim 📂 Article 📅 2007 🏛 Springer-Verlag 🌐 English ⚖ 207 KB

The number of securities giving the maxi

✍ Souad Lajili-Jarjir; Yves Rakotondratsimba 📂 Article 📅 2007 🏛 Springer Netherlands 🌐 English ⚖ 335 KB