A closed-form solution to the problem of super-replication under transaction costs

Cited In (50)

Stochastic targets with mixed diffusion processes and viscosity solutions.
Superreplication when trading at market indifference prices
Exact Superreplication Strategies for a Class of Derivative Assets
A super-replication theorem in Kabanov's model of transaction costs
A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS
American contingent claims under small proportional transaction costs
Pricing and hedging in incomplete markets with model uncertainty
Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
On the super-replicating approach when trading a derivative is limited
On the existence of shadow prices
Explicit solution to the multivariate super-replication problem under transaction costs.
Consistent price systems in multiasset markets
Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem
The super-replication theorem under proportional transaction costs revisited
Existence of shadow prices in finite probability spaces
On optimal terminal wealth under transaction costs
Super-replication with fixed transaction costs
Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
Brownian moving averages have conditional full support
On using shadow prices in portfolio optimization with transaction costs
Super‐replication with transaction costs under model uncertainty for continuous processes
ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY
Consistent price systems and face-lifting pricing under transaction costs
Foreign currency option pricing with proportional transaction costs
GUARANTEE VALUATION IN NOTIONAL DEFINED CONTRIBUTION PENSION SYSTEMS
Option pricing with transaction costs using a Markov chain approximation
On barrier option pricing in binomial market with transaction costs
Super-replication price: it can be ok
The super-replication problem via probabilistic methods
Model-Free Price Bounds Under Dynamic Option Trading
A dynamic version of the super-replication theorem under proportional transaction costs
Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
Arbitrage and control problems in finance. A presentation
Optimal portfolio selection under concave price impact
Pricing a European Basket Option in the Presence of Proportional Transaction Costs
THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS
OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
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Super-replication under proportional transaction costs: From discrete to continuous-time models
General indifference pricing with small transaction costs
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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Utility maximization in markets with bid–ask spreads
Special issue: Arbitrage and control problems in finance
Hedging Under an Expected Loss Constraint with Small Transaction Costs
The scaling limit of superreplication prices with small transaction costs in the multivariate case
Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
Limit theorems for partial hedging under transaction costs

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