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A closed-form solution to the problem of super-replication under transaction costs |
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| Authors: | Jakša Cvitanić Huyên Pham Nizar Touzi |
| Affiliation: | (1) Department of Statistics, Columbia University, New York, NY 10027, USA (e-mail: cj@stat.columbia.edu) , US;(2) Equipe d'Analyse et de Mathématiques Appliquées, Université Marne-la-Vallée, F-77454 Marne-la-Vallée Cedex 2, France and CREST (e-mail: pham@math.univ-mlv.fr) , FR;(3) CEREMADE, Université Paris Dauphine, F-75775 Paris Cedex, France and CREST (e-mail: touzi@ceremade.dauphine.fr) , FR |
| Abstract: | |
| Keywords: | : Transaction costs super-replicating strategies viscosity solutions JEL classification: G11 G13 Mathematics Subject Classification (1991): 90A09 93E20 60H30 60G44 90A16 |
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