Hedging Under an Expected Loss Constraint with Small Transaction Costs (Q3188153): Difference between revisions

@@ Property / author @@
+Halil Mete Soner
@@ Property / author: Halil Mete Soner / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q57635844
@@ Property / Wikidata QID: Q57635844 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.4916
@@ Property / arXiv ID: 1309.4916 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics for fixed transaction costs
@@ Property / cites work: Asymptotics for fixed transaction costs / rank @@
+Normal rank
@@ Property / cites work @@
+Multi‐asset portfolio optimization with transaction cost
+Normal rank
@@ Property / cites work @@
+Option pricing with transaction costs and a nonlinear Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+Q3355178
@@ Property / cites work: Q3355178 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
+Normal rank
@@ Property / cites work @@
+Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Utility Maximization Trading Two Futures with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Utility maximization on the real line under proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Optimal Control under Stochastic Target Constraints
+Normal rank
@@ Property / cites work @@
+BSDEs with weak terminal condition
@@ Property / cites work: BSDEs with weak terminal condition / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Target Problems with Controlled Loss
@@ Property / cites work: Stochastic Target Problems with Controlled Loss / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic target games with controlled loss
@@ Property / cites work: Stochastic target games with controlled loss / rank @@
+Normal rank
@@ Property / cites work @@
+Weak Dynamic Programming for Generalized State Constraints
+Normal rank
@@ Property / cites work @@
+Explicit solution to the multivariate super-replication problem under transaction costs.
+Normal rank
@@ Property / cites work @@
+A Stochastic Target Approach for P&amp;L Matching Problems
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+A closed-form solution to the problem of super-replication under transaction costs
+Normal rank
@@ Property / cites work @@
+Super-replication in stochastic volatility models under portfolio constraints
+Normal rank
@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
+Normal rank
@@ Property / cites work @@
+SDEs with oblique reflection on nonsmooth domains
@@ Property / cites work: SDEs with oblique reflection on nonsmooth domains / rank @@
+Normal rank
@@ Property / cites work @@
+Periodic homogenisation of certain fully nonlinear partial differential equations
+Normal rank
@@ Property / cites work @@
+Quantile hedging
@@ Property / cites work: Quantile hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient hedging: cost versus shortfall risk
@@ Property / cites work: Efficient hedging: cost versus shortfall risk / rank @@
+Normal rank
@@ Property / cites work @@
+PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
+Normal rank
@@ Property / cites work @@
+Asymptotics and duality for the Davis and Norman problem
+Normal rank
@@ Property / cites work @@
+Balancing Small Transaction Costs with Loss of Optimal Allocation in Dynamic Stock Trading Strategies
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis of optimal investment and consumption with transaction costs.
+Normal rank
@@ Property / cites work @@
+Hedging and liquidation under transaction costs in currency markets
+Normal rank
@@ Property / cites work @@
+Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
+Normal rank
@@ Property / cites work @@
+Markets with transaction costs. Mathematical theory.
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging in discrete time under transaction costs and continuous-time limit
+Normal rank
@@ Property / cites work @@
+On Super-Replication in Discrete Time under Transaction Costs
+Normal rank
@@ Property / cites work @@
+On the possibility of hedging options in the presence of transaction costs
+Normal rank
@@ Property / cites work @@
+Portfolio selection with transactions costs
@@ Property / cites work: Portfolio selection with transactions costs / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Target Problems with Controlled Loss in Jump Diffusion Models
+Normal rank
@@ Property / cites work @@
+General indifference pricing with small transaction costs
+Normal rank
@@ Property / cites work @@
+Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
+Normal rank
@@ Property / cites work @@
+Large liquidity expansion of super-hedging costs
@@ Property / cites work: Large liquidity expansion of super-hedging costs / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+There is no nontrivial hedging portfolio for option pricing with transaction costs
+Normal rank
@@ Property / cites work @@
+Dynamic programming for stochastic target problems and geometric flows
+Normal rank
@@ Property / cites work @@
+Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
+Normal rank
@@ Property / cites work @@
+Homogenization and Asymptotics for Small Transaction Costs
+Normal rank
@@ Property / cites work @@
+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
+Normal rank