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]
@article{PennanenP18-0,
title = {Convex duality in optimal investment and contingent claim valuation in illiquid markets},
author = {Teemu Pennanen and Ari-Pekka Perkkiö},
year = {2018},
doi = {10.1007/s00780-018-0372-8},
url = {https://doi.org/10.1007/s00780-018-0372-8},
researchr = {https://researchr.org/publication/PennanenP18-0},
cites = {0},
citedby = {0},
journal = {Finance and Stochastics},
volume = {22},
number = {4},
pages = {733-771},
}