Risk measure pricing and hedging in the presence of transaction costs (Q874350): Difference between revisions

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+Q3160493
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+Inf-convolution of risk measures and optimal risk transfer
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+On the Existence of Minimax Martingale Measures
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+DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>
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+The Pricing of Options and Corporate Liabilities
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+Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
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+Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
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+Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Q4218383
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+European Option Pricing with Transaction Costs
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+A general version of the fundamental theorem of asset pricing
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+Stochastic finance. An introduction in discrete time
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+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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+Optimal investment with transaction costs and without semimartingales
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+Risk minimization under transaction costs
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+Q3613975
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+Coherent risk measures and good-deal bounds
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+Martingales and arbitage in securities markets with transaction costs
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+Hedging and liquidation under transaction costs in currency markets
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+The Harrison-Pliska arbitrage pricing theorem under transaction costs
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+Q3849137
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+Local Risk-Minimization Under Transaction Costs
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+Satisfying convex risk limits by trading
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+An example of indifference prices under exponential preferences
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+Pricing Via Utility Maximization and Entropy
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+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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+Risk measure pricing and hedging in incomplete markets
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+Publication:874350