In a financial market consisting of a nonrisky asset and a risky one, we study the minimal initial capital needed in order to superreplicate a given contingent claim under a gamma ...
Following the framework of C¸etin, Jarrow and Protter [4] we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of th...
Most models of decision-making in neuroscience assume an infinite horizon, which yields an optimal solution that integrates evidence up to a fixed decision threshold; however, u...