A closed-form solution to the problem of super-replication under transaction costs

Jaksa Cvitanic, Huyên Pham, Nizar Touzi. A closed-form solution to the problem of super-replication under transaction costs. Finance and Stochastics, 3(1):35-54, 1999. [doi]

Authors

Jaksa Cvitanic

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Huyên Pham

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Nizar Touzi

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