Utility maximization in markets with bid–ask spreads (Q3017887): Difference between revisions

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+Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
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+Utility maximization under increasing risk aversion in one-period models
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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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+Optimal investment with derivative securities
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+Price functionals with bid-ask spreads: An axiomatic approach
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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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+On Super-Replication in Discrete Time under Transaction Costs
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+On option pricing in binomial market with transaction costs
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+A valuation algorithm for indifference prices in incomplete markets
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+A counter-example to an option pricing formula under transaction costs
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