Hedging, arbitrage and optimality with superlinear frictions

P Guasoni, M Rásonyi - 2015 - projecteuclid.org
In a continuous-time model with multiple assets described by càdlàg processes, this paper
characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies …
被引用次数：32 相关文章
[PDF] core.ac.uk

[PDF][PDF] Hedging, Arbitrage, and Optimality with Superlinear Frictions

P Guasoni - 2013 - core.ac.uk
In a continuous-time model with multiple assets described by cadlag processes, this paper
characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies …

Hedging, arbitrage and optimality with superlinear frictions

P Guasoni, M Rásonyi - arXiv preprint arXiv:1506.05895, 2015 - arxiv.org
In a continuous-time model with multiple assets described by c\{a} dl\{a} g processes, this
paper characterizes superhedging prices, absence of arbitrage, and utility maximizing …

Hedging, arbitrage and optimality with superlinear frictions

P Guasoni - 2015 - econpapers.repec.org
In a continuous-time model with multiple assets described by c\{a} dl\{a} g processes, this
paper characterizes superhedging prices, absence of arbitrage, and utility maximizing …

HEDGING, ARBITRAGE AND OPTIMALITY WITH SUPERLINEAR FRICTIONS

P GUASONI, M RÁSONYI - The Annals of Applied Probability, 2015 - projecteuclid.org
In a continuous-time model with multiple assets described by càdlàg processes, this paper
characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies …

Hedging, arbitrage and optimality with superlinear frictions

P Guasoni - 2015 - ideas.repec.org
In a continuous-time model with multiple assets described by c\{a} dl\{a} g processes, this
paper characterizes superhedging prices, absence of arbitrage, and utility maximizing …

[引用][C] Hedging, arbitrage and optimality with superlinear frictions.

P Guasoni, M Rásonyi - Annals of applied probability: an official …, 2015 - dialnet.unirioja.es

Hedging, Arbitrage, and Optimality with Superlinear Frictions

P Guasoni, M Rasonyi - … U. School of Management Research Paper, 2013 - papers.ssrn.com
In a continuous-time model with multiple assets described by cadlag processes, this paper
characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies …

Hedging, arbitrage and optimality with superlinear frictions

P Guasoni, M Rásonyi - ANNALS OF APPLIED PROBABILITY, 2015 - real.mtak.hu
In a continuous-time model with multiple assets described by càdlàg processes, this paper
characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies …

Hedging, arbitrage and optimality with superlinear frictions

P Guasoni, M Rásonyi - arXiv e-prints, 2015 - ui.adsabs.harvard.edu
In a continuous-time model with multiple assets described by càdlàg processes, this paper
characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies …