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

Jaksa Cvitanic Huyên Pham Nizar Touzi

Published in: Finance Stochastics (1999)

Keyphrases

transaction costs
closed form
distributed databases
search costs
fault tolerant
stock exchange
fault tolerance
portfolio management
data replication
peer to peer
transaction cost economics
genetic algorithm
long term