On super-replication in discrete time under transaction costs

Theory of Probability and its Applications

Volumn 45, Issue 4, 2000, Pages 667-673

  Koehl, P F ^a   Pham, H ^b   Touzi, N ^c  

^a CDC   (France)

^b UNIVERSITÉ PARIS DESCARTES   (France)

^c UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

Author keywords

Dual representation; Super replication cost; Transaction costs

Indexed keywords

EID: 0034747611     PISSN: 0040585X     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0040585X9797866X     Document Type: Article

References (8)

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