Pages that link to "Item:Q4345924"
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The following pages link to DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup> (Q4345924):
Displaying 50 items.
- American and Bermudan options in currency markets with proportional transaction costs (Q267772) (← links)
- Tractable hedging with additional hedge instruments (Q539149) (← links)
- Foreign currency option pricing with proportional transaction costs (Q621866) (← links)
- Pricing rules and Arrow-Debreu ambiguous valuation (Q663197) (← links)
- Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model (Q665729) (← links)
- Asset pricing in an imperfect world (Q683829) (← links)
- A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
- Risk-neutral pricing for arbitrage pricing theory (Q779871) (← links)
- Link-save trading (Q855369) (← links)
- American contingent claims under small proportional transaction costs (Q861832) (← links)
- Risk measure pricing and hedging in the presence of transaction costs (Q874350) (← links)
- A counter-example to an option pricing formula under transaction costs (Q881422) (← links)
- Options under proportional transaction costs: An algorithmic approach to pricing and hedging (Q944910) (← links)
- Option pricing with transaction costs using a Markov chain approximation (Q951502) (← links)
- The American put under transactions costs (Q951505) (← links)
- Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization (Q956490) (← links)
- Tractable hedging: An implementation of robust hedging strategies (Q959656) (← links)
- A numerical method for European option pricing with transaction costs nonlinear equation (Q969982) (← links)
- Computing option pricing models under transaction costs (Q980254) (← links)
- On the numerical solution of nonlinear Black-Scholes equations (Q1004743) (← links)
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations (Q1004744) (← links)
- Replication and shortfall risk in a binomial model with transaction costs (Q1014287) (← links)
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs (Q1039367) (← links)
- Option hedging theory under transaction costs (Q1042722) (← links)
- Transaction costs and efficiency of portfolio strategies (Q1278207) (← links)
- Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach (Q1294549) (← links)
- Call option pricing and replication under economic friction (Q1296020) (← links)
- Option replication with transaction costs: general diffusion limits (Q1296601) (← links)
- On the possibility of hedging options in the presence of transaction costs (Q1364395) (← links)
- Optimal delta-hedging under transactions costs (Q1391437) (← links)
- The super-replication problem via probabilistic methods (Q1413690) (← links)
- Mean-variance hedging for pricing European-type contingent claims with transaction costs. (Q1421067) (← links)
- Sublinear price functionals under portfolio constraints (Q1567183) (← links)
- Transaction costs and a redundant security: Divergence of individual and social relevance (Q1567196) (← links)
- Option pricing and replication with transaction costs and dividends (Q1583143) (← links)
- Properties of bid and ask reservation prices in the rank-dependent expected utility model (Q1590373) (← links)
- Price functionals with bid-ask spreads: An axiomatic approach (Q1592527) (← links)
- Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs. (Q1605429) (← links)
- Financial market structures revealed by pricing rules: efficient complete markets are prevalent (Q1693190) (← links)
- A high-order finite difference method for option valuation (Q1705003) (← links)
- On infinite-horizon minimum-cost hedging under cone constraints (Q1853196) (← links)
- Utility based option evaluation with proportional transaction costs (Q1853219) (← links)
- Submodular financial markets with frictions (Q2143910) (← links)
- Pricing without no-arbitrage condition in discrete time (Q2235871) (← links)
- Effectiveness of CPPI strategies under discrete-time trading (Q2271619) (← links)
- Numeraire portfolios and utility-based price systems under proportional transaction costs (Q2343095) (← links)
- Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming (Q2440802) (← links)
- Small transaction cost asymptotics and dynamic hedging (Q2464226) (← links)
- Quantile hedging on equity-linked life insurance contracts with transaction costs (Q2513623) (← links)
- No arbitrage conditions and liquidity (Q2642001) (← links)
