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Convex duality with transaction costs
Yan Dolinsky
*
, H. Mete Soner
*
Corresponding author for this work
Department of Statistics
Research output
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Article
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peer-review
4
Scopus citations
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Keyphrases
Super-replication
100%
Transaction Costs
100%
Convex Duality
100%
Probability Measure
75%
Finite number
25%
Financial Markets
25%
Almost Surely
25%
Proportional Transaction Costs
25%
Replication Cost
25%
Continuous Path
25%
Specific Model
25%
Hedging
25%
Continuous-time
25%
Model-independent
25%
Support Properties
25%
Conditional Support
25%
Market Model
25%
Number of Options
25%
Static Hedging
25%
Underlying Stocks
25%
Dynamic Hedging
25%
Mathematics
Probability Measure
100%
Main Result
33%
Conditionals
33%
Finite Number
33%
Continuous Time
33%
Considered Problem
33%
Computer Science
Probability Measure
100%
Continuous Time
33%
Considered Problem
33%