An Algorithm For Calculating The Set Of Superhedging Portfolios In Markets With Transaction Costs
Work
Year: 2014
Type: article
Abstract: We study the explicit calculation of the set of superhedging portfolios of contingent claims in a discrete-time market model for d assets with proportional transaction costs. The set of superhedging p... more
Authors Andreas Löhne, Birgit Rudloff
Cites: 29
Cited by: 33
Related to: 10
FWCI: 5.448
Citation percentile (by year/subfield): 97.17
Subfield: Finance
Domain: Social Sciences
Open Access status: green