1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.PR2008★ 1 cited
Hedging of claims with physical delivery under convex transaction costs
Teemu Pennanen, Irina Penner
We study superhedging of contingent claims with physical delivery in a discrete-time market model with convex transaction costs. Our model extends Kabanov's currency market model b…
q-fin.PR2008
Superhedging in illiquid markets
Teemu Pennanen
We study contingent claims in a discrete-time market model where trading costs are given by convex functions and portfolios are constrained by convex sets. In addition to classical…