Hedging of claims with physical delivery under convex transaction costs

Research output: Contribution to journal › Article › peer-review

35 Citations (Scopus)

Original language	English
Pages (from-to)	158 - 178
Number of pages	21
Journal	SIAM Journal on Financial Mathematics
Publication status	Published - 2010

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@article{50211cd6d24a462194dfbc42751356fe,

title = "Hedging of claims with physical delivery under convex transaction costs",

author = "T Pennanen and I Penner",

year = "2010",

language = "English",

pages = "158 -- 178",

journal = "SIAM Journal on Financial Mathematics",

publisher = "Society for Industrial and Applied Mathematics Publications",

}