LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS (Q2875729): Difference between revisions

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+MaRDI publication profile
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+W2096770317
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+.1576
@@ Property / arXiv ID: 1004.1576 / rank @@
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+A closed-form solution to the problem of super-replication under transaction costs
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+Hedging of game options with the presence of transaction costs
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+Binomial approximations of shortfall risk for game options
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+Binomial Approximations for Barrier Options of Israeli Style
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+Risk minimization under transaction costs
@@ Property / cites work: Risk minimization under transaction costs / rank @@
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+Optimal investment with transaction costs and without semimartingales
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+The super-replication problem via probabilistic methods
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+Partial Hedging under Transaction Costs
@@ Property / cites work: Partial Hedging under Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Game options
@@ Property / cites work: Game options / rank @@
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+Error estimates for binomial approximations of game options
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+On the possibility of hedging options in the presence of transaction costs
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+The efficient hedging problem for American options
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+Q3378055
@@ Property / cites work: Q3378055 / rank @@
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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+Replication and shortfall risk in a binomial model with transaction costs
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+Publication:2875729