Matches in SemOpenAlex for { <https://semopenalex.org/work/W2150846679> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W2150846679 abstract "In this note, we consider a general discrete time financial market with proportional transaction costs as in Kabanov and Stricker (2001), Kabanov et al. (2002), Kabanov et al. (2003) and Schachermayer (2004). We provide a dual formulation for the set of initial endowments which allow to super-hedge some American claim. We show that this extends the result of Chalasani and Jha (2001) which was obtained in a model with constant transaction costs and risky assets which evolve on a finite dimensional tree. We also provide fairly general conditions under which the expected formulation in terms of stopping times does not work." @default.
- W2150846679 created "2016-06-24" @default.
- W2150846679 creator A5030868049 @default.
- W2150846679 creator A5032031447 @default.
- W2150846679 date "2005-01-01" @default.
- W2150846679 modified "2023-10-11" @default.
- W2150846679 title "On the Hedging of American Options in Discrete Time with Proportional Transaction Costs" @default.
- W2150846679 cites W1988357081 @default.
- W2150846679 cites W2050761425 @default.
- W2150846679 cites W2073421207 @default.
- W2150846679 cites W2084854987 @default.
- W2150846679 cites W2133183661 @default.
- W2150846679 cites W2232913842 @default.
- W2150846679 cites W4244967830 @default.
- W2150846679 cites W4249667877 @default.
- W2150846679 doi "https://doi.org/10.1214/ejp.v10-266" @default.
- W2150846679 hasPublicationYear "2005" @default.
- W2150846679 type Work @default.
- W2150846679 sameAs 2150846679 @default.
- W2150846679 citedByCount "23" @default.
- W2150846679 countsByYear W21508466792012 @default.
- W2150846679 countsByYear W21508466792013 @default.
- W2150846679 countsByYear W21508466792014 @default.
- W2150846679 countsByYear W21508466792015 @default.
- W2150846679 countsByYear W21508466792016 @default.
- W2150846679 countsByYear W21508466792017 @default.
- W2150846679 countsByYear W21508466792018 @default.
- W2150846679 crossrefType "journal-article" @default.
- W2150846679 hasAuthorship W2150846679A5030868049 @default.
- W2150846679 hasAuthorship W2150846679A5032031447 @default.
- W2150846679 hasBestOaLocation W21508466791 @default.
- W2150846679 hasConcept C10138342 @default.
- W2150846679 hasConcept C105795698 @default.
- W2150846679 hasConcept C124952713 @default.
- W2150846679 hasConcept C126255220 @default.
- W2150846679 hasConcept C142362112 @default.
- W2150846679 hasConcept C144237770 @default.
- W2150846679 hasConcept C149782125 @default.
- W2150846679 hasConcept C162118730 @default.
- W2150846679 hasConcept C162324750 @default.
- W2150846679 hasConcept C177264268 @default.
- W2150846679 hasConcept C18903297 @default.
- W2150846679 hasConcept C199360897 @default.
- W2150846679 hasConcept C2777027219 @default.
- W2150846679 hasConcept C2780980858 @default.
- W2150846679 hasConcept C33923547 @default.
- W2150846679 hasConcept C41008148 @default.
- W2150846679 hasConcept C55689738 @default.
- W2150846679 hasConcept C70771513 @default.
- W2150846679 hasConcept C86803240 @default.
- W2150846679 hasConcept C98965940 @default.
- W2150846679 hasConcept C99414536 @default.
- W2150846679 hasConceptScore W2150846679C10138342 @default.
- W2150846679 hasConceptScore W2150846679C105795698 @default.
- W2150846679 hasConceptScore W2150846679C124952713 @default.
- W2150846679 hasConceptScore W2150846679C126255220 @default.
- W2150846679 hasConceptScore W2150846679C142362112 @default.
- W2150846679 hasConceptScore W2150846679C144237770 @default.
- W2150846679 hasConceptScore W2150846679C149782125 @default.
- W2150846679 hasConceptScore W2150846679C162118730 @default.
- W2150846679 hasConceptScore W2150846679C162324750 @default.
- W2150846679 hasConceptScore W2150846679C177264268 @default.
- W2150846679 hasConceptScore W2150846679C18903297 @default.
- W2150846679 hasConceptScore W2150846679C199360897 @default.
- W2150846679 hasConceptScore W2150846679C2777027219 @default.
- W2150846679 hasConceptScore W2150846679C2780980858 @default.
- W2150846679 hasConceptScore W2150846679C33923547 @default.
- W2150846679 hasConceptScore W2150846679C41008148 @default.
- W2150846679 hasConceptScore W2150846679C55689738 @default.
- W2150846679 hasConceptScore W2150846679C70771513 @default.
- W2150846679 hasConceptScore W2150846679C86803240 @default.
- W2150846679 hasConceptScore W2150846679C98965940 @default.
- W2150846679 hasConceptScore W2150846679C99414536 @default.
- W2150846679 hasIssue "none" @default.
- W2150846679 hasLocation W21508466791 @default.
- W2150846679 hasOpenAccess W2150846679 @default.
- W2150846679 hasPrimaryLocation W21508466791 @default.
- W2150846679 hasRelatedWork W1488326122 @default.
- W2150846679 hasRelatedWork W1966640694 @default.
- W2150846679 hasRelatedWork W2380201543 @default.
- W2150846679 hasRelatedWork W2949467980 @default.
- W2150846679 hasRelatedWork W2951192952 @default.
- W2150846679 hasRelatedWork W3123628543 @default.
- W2150846679 hasRelatedWork W3124398637 @default.
- W2150846679 hasRelatedWork W3125000247 @default.
- W2150846679 hasRelatedWork W4298437738 @default.
- W2150846679 hasRelatedWork W4300129010 @default.
- W2150846679 hasVolume "10" @default.
- W2150846679 isParatext "false" @default.
- W2150846679 isRetracted "false" @default.
- W2150846679 magId "2150846679" @default.
- W2150846679 workType "article" @default.