Convex duality in optimal investment and contingent claim valuation in illiquid markets

Teemu Pennanen, Ari-Pekka Perkkiö. Convex duality in optimal investment and contingent claim valuation in illiquid markets. Finance and Stochastics, 22(4):733-771, 2018. [doi]

Authors

Teemu Pennanen

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Ari-Pekka Perkkiö

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