Consistent price systems and face-lifting pricing under transaction costs

Annals of Applied Probability

Volumn 18, Issue 2, 2008, Pages 491-520

  Guasoni, Paolo ^a,d   Rásonyi, Miklós ^b,c   Schachermayer, Walter ^c  

^a BOSTON UNIVERSITY   (United States)

^b INSTITUTE OF EXPERIMENTAL MEDICINE   (Hungary)

^c VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

^d Boston University   (United States)

Author keywords

Fractional brownian motion; Superreplication; Transaction costs

Indexed keywords

EID: 52949152914     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/07-AAP461     Document Type: Article

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