94 citations · 145 across the 20 of their papers we have counts for
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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…
q-fin.PR2008★ 26 cited
Arbitrage and deflators in illiquid markets
Teemu Pennanen
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by conve…