Large liquidity expansion of super-hedging costs

Asymptotic Analysis

Volumn 79, Issue 1-2, 2012, Pages 45-64

  Possamaï, Dylan ^a   Soner, H Mete ^b   Touzi, Nizar ^a  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b ETH ZURICH   (Switzerland)

Author keywords

asymptotic expansions; liquidity; super replication; viscosity solutions

Indexed keywords

ASYMPTOTIC EXPANSION; FINANCIAL MARKET; LIQUIDITY; STOCHASTICS; SUPER-REPLICATION; SUPPLY FUNCTION; TAYLOR EXPANSIONS; VISCOSITY SOLUTIONS;

ASYMPTOTIC ANALYSIS; EXPANSION;

COSTS;

EID: 84865495780     PISSN: 09217134     EISSN: None     Source Type: Journal    
DOI: 10.3233/ASY-2011-1089     Document Type: Article

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