Option hedging theory under transaction costs (Q1042722): Difference between revisions

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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>
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+The Pricing of Options and Corporate Liabilities
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+Option pricing by large risk aversion utility under transaction costs
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+Optimal delta-hedging under transactions costs
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+Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
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+Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
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+Portfolio Selection with Transaction Costs
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+European Option Pricing with Transaction Costs
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+Q4218383
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+Valuation of American Options via Basis Functions
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+Portfolio selection with transactions costs
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+Simulations of transaction costs and optimal rehedging
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+Option pricing with transaction costs using a Markov chain approximation
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+Dynamic hedging of basket options under proportional transaction costs using receding horizon control
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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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+European option pricing and hedging with both fixed and proportional transaction costs
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