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Duality and convergence for binomial markets with friction
Yan Dolinsky,
Halil Mete Soner
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peer-review
21
Scopus citations
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Mathematics
Superreplication
Transaction Costs
Finance
Friction
Market
Limit Theorems
Liquidity
Duality
G-expectation
Costs
European Options
Binomial Model
Convergence Results
Directly proportional
Continuous Time
Model
Business & Economics
Superreplication
Limit Theorems
Friction
Duality
Costs
Illiquid Markets
Transaction Costs
Liquidity Premium
Proportional Transaction Costs
Finance
Binomial Model
European Options
Continuous Time