Super-replication with fixed transaction costs (Q1737955): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.09234
@@ Property / arXiv ID: 1610.09234 / 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 @@
+The scaling limit of superreplication prices with small transaction costs in the multivariate case
+Normal rank
@@ Property / cites work @@
+Asymptotic replication with modified volatility under small transaction costs
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+A closed-form solution to the problem of super-replication under transaction costs
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+Hedging of game options with the presence of transaction costs
+Normal rank
@@ Property / cites work @@
+Duality and convergence for binomial markets with friction
+Normal rank
@@ Property / cites work @@
+Optimal Impulse Control of Portfolios
@@ Property / cites work: Optimal Impulse Control of Portfolios / rank @@
+Normal rank
@@ Property / cites work @@
+Approximate hedging for nonlinear transaction costs on the volume of traded assets
+Normal rank
@@ Property / cites work @@
+Weighted BMO and discrete time hedging within the Black-Scholes model
+Normal rank
@@ Property / cites work @@
+NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
+Normal rank
@@ Property / cites work @@
+Consistent price systems and face-lifting pricing under transaction costs
+Normal rank
@@ Property / cites work @@
+The super-replication problem via probabilistic methods
+Normal rank
@@ Property / cites work @@
+Arbitrage and viability in securities markets with fixed trading costs
+Normal rank
@@ Property / cites work @@
+On Leland's strategy of option pricing with transactions costs
+Normal rank
@@ Property / cites work @@
+Portfolio optimisation with strictly positive transaction costs and impulse control
+Normal rank
@@ Property / cites work @@
+Limit theorem on option replication cost with transaction costs
+Normal rank
@@ Property / cites work @@
+Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs
+Normal rank
@@ Property / cites work @@
+Arbitrage theory for non convex financial market models
+Normal rank
@@ Property / cites work @@
+On the possibility of hedging options in the presence of transaction costs
+Normal rank
@@ Property / cites work @@
+OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
+Normal rank
@@ Property / cites work @@
+Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
+Normal rank
@@ Property / cites work @@
+Limit theorem for Leland's strategy
@@ Property / cites work: Limit theorem for Leland's strategy / rank @@
+Normal rank
@@ Property / cites work @@
+There is no nontrivial hedging portfolio for option pricing with transaction costs
+Normal rank
@@ Property / Wikidata QID @@
+Q128538173
@@ Property / Wikidata QID: Q128538173 / rank @@
+Normal rank