OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS (Q3195491): Difference between revisions

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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
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+Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
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+Q3150773
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Portfolio Selection with Transaction Costs
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+European Option Pricing with Transaction Costs
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+Exponential Hedging and Entropic Penalties
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+Balancing Small Transaction Costs with Loss of Optimal Allocation in Dynamic Stock Trading Strategies
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+An Option to Reduce Transaction Costs
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+LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS
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+Martingales and arbitage in securities markets with transaction costs
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+On using shadow prices in portfolio optimization with transaction costs
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+Asymptotic utility-based pricing and hedging for exponential utility
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+On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
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+Dynamic exponential utility indifference valuation
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+Optimal investment and consumption with transaction costs
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
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