Market models under transaction costs (duality theory, pricing, and hedging for market models under transaction costs: semimartingales and beyond)

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Primary Data

Project Acronym Projekt Kurzbezeichnung
FAM: Duality
 
Project Title (de) Projekttitel (de)
Market models under transaction costs (duality theory, pricing, and hedging for market models under transaction costs: semimartingales and beyond)
 
Project Title (en) Projekttitel (en)
Market models under transaction costs (duality theory, pricing, and hedging for market models under transaction costs: semimartingales and beyond)
 
Consortium Coordinator Koordinator des Konsortiums
 
Principal Investigator Projektleiter_in
 

Grants

Funder/Funding Agency Fördergeber
FWF Fonds zur Förderung der wissenschaftlichen Forschung (FWF)
Grant number Förderkennnummer
P19456
 

Publications

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Author:  Rásonyi, Miklós

Results 1-6 of 6 (Search time: 0.002 seconds).

PreviewAuthor(s)TitleTypeIssue Date
1Rasonyi, Miklos Convergence of utility indifference pricesPräsentation Presentation2007
2Carassus, Laurence ; Rásonyi, Miklós Optimal strategies and utility-based prices converge when agents' preferences doArtikel Article2007
3Carassus, Laurence ; Rásonyi, Miklós Convergence of utility indifference prices to the superreplication price: the whole real line caseArtikel Article2007
4Rasonyi, Miklos Consistent Price Systems and Face-Lifting Pricing under Transaction CostsPräsentation Presentation2007
5Rasonyi, Miklos The fundamental theorem of asset pricing for continuous processes under small transaction costsPräsentation Presentation2007
6Carassus, Laurence ; Rasonyi, Miklos Convergence of utility indifference prices to the superreplication priceArtikel Article2006