Hedging in discrete time under transaction costs and continuous-time limit

Journal of Applied Probability

Volumn 36, Issue 1, 1999, Pages 163-178

  Koehl, Pierre F ^a   Pham, Huyên ^b   Touzi, Nizar ^c  

^a CREST   (France)

^b UNIVERSITÉ GUSTAVE EIFFEL   (France)

^c UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

Continuous time limit; Martingales; Replication; Super replication; Transaction costs

Indexed keywords

EID: 0033238290     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0021900200016946     Document Type: Article

References (12)

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