Risk measure pricing and hedging in the presence of transaction costs

Derivative securities (option pricing, hedging, etc.) (91G20) Generalizations of martingales (60G48) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

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The pricing of options and corporate liabilities
A general version of the fundamental theorem of asset pricing
Pricing via utility maximization and entropy.
Stochastic finance. An introduction in discrete time
Optional decompositions under constraints
Martingales and arbitage in securities markets with transaction costs
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
The Harrison-Pliska arbitrage pricing theorem under transaction costs
Hedging and liquidation under transaction costs in currency markets
DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
On the rate of convergence of discrete-time contingent claims.
European Option Pricing with Transaction Costs
Risk minimization under transaction costs
Optimal investment with transaction costs and without semimartingales
HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
A valuation algorithm for indifference prices in incomplete markets
An example of indifference prices under exponential preferences
Inf-convolution of risk measures and optimal risk transfer
On the Existence of Minimax Martingale Measures
Coherent risk measures and good-deal bounds
Espaces de semi martingales et changement de probabilit�
Risk measure pricing and hedging in incomplete markets
Local risk-minimization under transaction costs
Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities
Minimizing shortfall risk and applications to finance and insurance problems
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Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.

Cited In (8)

Quantile hedging on markets with proportional transaction costs
Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints
CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS
Risk arbitrage and hedging to acceptability under transaction costs
Pricing and hedging in the presence of extraneous risks
Risk measure pricing and hedging in incomplete markets
Hedging in the CRR model under concave transaction costs
DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹

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