Explicit solution to the multivariate super-replication problem under transaction costs
By Bruno Bouchard, Nizar Touzi. 2000
50 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/376a859d38df9fd6d71249ea0e8167cc0fe8fb3a
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Johannes Muhle‐Karbe
- Jan Kallsen
- Walter Schachermayer
- Thomas Goll
- Alexander Schied
- Paolo Guasoni
- Gordan Zitkovic
- Peter Tankov
In Management Science and Operations Research
- Johannes Muhle‐Karbe
- Jan Kallsen
- Walter Schachermayer
- Thomas Goll
- Alexander Schied
- Paolo Guasoni
- Daniel Hernandez-Hernandez
- Gordan Zitkovic
Citations in the corpus
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2004, background): “The interpretation of these assumptions is rather obvious (cf., e.g., Bouchard and Touzi 2000 and Bouchard, Kabanov, and Touzi 2001).”
- On using shadow prices in portfolio optimization with transaction costs (2010, background): “[11] and recently [8, 9]), local risk minimization [13], super-replication [2, 4] and utility maximization [3, 5, 14].”
- Consistent price systems and face-lifting pricing under transaction costs (2008, unknown): “” Exploiting the flexibility of this construction, we discover a large class of consistent price systems and extend to our setting the “face-lifting” results proved by [10] and [4] for diffusion models.”