{"id":"https://openalex.org/W2078351801","doi":"https://doi.org/10.1007/s001860050099","title":"Super-replication under proportional transaction costs: From discrete to continuous-time models","display_name":"Super-replication under proportional transaction costs: From discrete to continuous-time models","publication_year":1999,"publication_date":"1999-10-18","ids":{"openalex":"https://openalex.org/W2078351801","doi":"https://doi.org/10.1007/s001860050099","mag":"2078351801"},"language":"en","primary_location":{"id":"doi:10.1007/s001860050099","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s001860050099","pdf_url":null,"source":{"id":"https://openalex.org/S126160977","display_name":"Mathematical Methods of Operations Research","issn_l":"1432-2994","issn":["1432-2994","1432-5217"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Methods of Operations Research (ZOR)","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5105990961","display_name":"Nizar Touzi","orcid":null},"institutions":[{"id":"https://openalex.org/I51101395","display_name":"Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne","ror":"https://ror.org/002t25c44","country_code":"FR","type":"education","lineage":["https://openalex.org/I51101395"]},{"id":"https://openalex.org/I3019441195","display_name":"Laboratoire de Math\u00e9matiques d'Orsay","ror":"https://ror.org/03ab0zs98","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I277688954","https://openalex.org/I3019441195"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Nizar Touzi","raw_affiliation_strings":["Centre de Recherche de Math\u00e9matiques, Statistiques et Economie Math\u00e9matiques, Universit\u00e9 Paris I, Panth\u00e9on-Sorbonne, 106-112 Bd de l'H\u00f4pital, 75647 Paris Cedex 13, France, , , , , , FR","Centre de Recherche de Math\u00e9matiques, Statistiques et Economie Math\u00e9matiques, Universit\u00e9 Paris I, Panth\u00e9on-Sorbonne, 106-112 Bd de l'H\u00f4pital, 75647 Paris Cedex 13, France, , FR"],"affiliations":[{"raw_affiliation_string":"Centre de Recherche de Math\u00e9matiques, Statistiques et Economie Math\u00e9matiques, Universit\u00e9 Paris I, Panth\u00e9on-Sorbonne, 106-112 Bd de l'H\u00f4pital, 75647 Paris Cedex 13, France, , , , , , FR","institution_ids":["https://openalex.org/I3019441195","https://openalex.org/I51101395"]},{"raw_affiliation_string":"Centre de Recherche de Math\u00e9matiques, Statistiques et Economie Math\u00e9matiques, Universit\u00e9 Paris I, Panth\u00e9on-Sorbonne, 106-112 Bd de l'H\u00f4pital, 75647 Paris Cedex 13, France, , FR","institution_ids":["https://openalex.org/I51101395"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5105990961"],"corresponding_institution_ids":["https://openalex.org/I3019441195","https://openalex.org/I51101395"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":1.307,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.85323619,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"50","issue":"2","first_page":"297","last_page":"320"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9980999827384949,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9969000220298767,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/discrete-time-and-continuous-time","display_name":"Discrete time and continuous time","score":0.648821234703064},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5522482395172119},{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.5371919274330139},{"id":"https://openalex.org/keywords/replication","display_name":"Replication (statistics)","score":0.5319096446037292},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.523333728313446},{"id":"https://openalex.org/keywords/hedge","display_name":"Hedge","score":0.5181471109390259},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5131898522377014},{"id":"https://openalex.org/keywords/binomial-approximation","display_name":"Binomial approximation","score":0.4691794216632843},{"id":"https://openalex.org/keywords/limit","display_name":"Limit (mathematics)","score":0.45008793473243713},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4490143954753876},{"id":"https://openalex.org/keywords/time-horizon","display_name":"Time horizon","score":0.44706493616104126},{"id":"https://openalex.org/keywords/holding-cost","display_name":"Holding cost","score":0.4362232983112335},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4180900454521179},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.41550716757774353},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3906796872615814},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2906551659107208},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.2557687759399414},{"id":"https://openalex.org/keywords/negative-binomial-distribution","display_name":"Negative binomial distribution","score":0.20499500632286072},{"id":"https://openalex.org/keywords/poisson-distribution","display_name":"Poisson distribution","score":0.17622262239456177},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.15397042036056519},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1388290822505951},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.13337409496307373}],"concepts":[{"id":"https://openalex.org/C55689738","wikidata":"https://www.wikidata.org/wiki/Q15963867","display_name":"Discrete time and continuous time","level":2,"score":0.648821234703064},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5522482395172119},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.5371919274330139},{"id":"https://openalex.org/C12590798","wikidata":"https://www.wikidata.org/wiki/Q3933199","display_name":"Replication (statistics)","level":2,"score":0.5319096446037292},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.523333728313446},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.5181471109390259},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5131898522377014},{"id":"https://openalex.org/C9209722","wikidata":"https://www.wikidata.org/wiki/Q4914487","display_name":"Binomial approximation","level":4,"score":0.4691794216632843},{"id":"https://openalex.org/C151201525","wikidata":"https://www.wikidata.org/wiki/Q177239","display_name":"Limit (mathematics)","level":2,"score":0.45008793473243713},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4490143954753876},{"id":"https://openalex.org/C28761237","wikidata":"https://www.wikidata.org/wiki/Q7805321","display_name":"Time horizon","level":2,"score":0.44706493616104126},{"id":"https://openalex.org/C192365026","wikidata":"https://www.wikidata.org/wiki/Q5046829","display_name":"Holding cost","level":2,"score":0.4362232983112335},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4180900454521179},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.41550716757774353},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3906796872615814},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2906551659107208},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.2557687759399414},{"id":"https://openalex.org/C199335787","wikidata":"https://www.wikidata.org/wiki/Q743364","display_name":"Negative binomial distribution","level":3,"score":0.20499500632286072},{"id":"https://openalex.org/C100906024","wikidata":"https://www.wikidata.org/wiki/Q205692","display_name":"Poisson distribution","level":2,"score":0.17622262239456177},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.15397042036056519},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1388290822505951},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.13337409496307373},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s001860050099","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s001860050099","pdf_url":null,"source":{"id":"https://openalex.org/S126160977","display_name":"Mathematical Methods of Operations Research","issn_l":"1432-2994","issn":["1432-2994","1432-5217"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Methods of Operations Research (ZOR)","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:compst:v:50:y:1999:i:2:p:297-320","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s001860050099","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":17,"referenced_works":["https://openalex.org/W1580561995","https://openalex.org/W1984906925","https://openalex.org/W1988487366","https://openalex.org/W1992925703","https://openalex.org/W2021355027","https://openalex.org/W2029759782","https://openalex.org/W2032316144","https://openalex.org/W2044141035","https://openalex.org/W2057240682","https://openalex.org/W2060302284","https://openalex.org/W2068433492","https://openalex.org/W2080910730","https://openalex.org/W2085366146","https://openalex.org/W2089020092","https://openalex.org/W2136364195","https://openalex.org/W2264681101","https://openalex.org/W3123174243"],"related_works":["https://openalex.org/W2020411615","https://openalex.org/W3146631735","https://openalex.org/W3023129072","https://openalex.org/W3125987749","https://openalex.org/W2170968130","https://openalex.org/W4379742034","https://openalex.org/W1988322108","https://openalex.org/W4283806302","https://openalex.org/W2319246402","https://openalex.org/W2078351801"],"abstract_inverted_index":null,"counts_by_year":[{"year":2021,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}