Pages that link to "Item:Q1297907"
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The following pages link to A closed-form solution to the problem of super-replication under transaction costs (Q1297907):
Displaying 42 items.
- Superreplication when trading at market indifference prices (Q261922) (← links)
- Optimal portfolio selection under concave price impact (Q360368) (← links)
- On the existence of shadow prices (Q377456) (← links)
- Consistent price systems in multiasset markets (Q448327) (← links)
- Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (Q453370) (← links)
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
- The scaling limit of superreplication prices with small transaction costs in the multivariate case (Q522060) (← links)
- Existence of shadow prices in finite probability spaces (Q532533) (← links)
- Foreign currency option pricing with proportional transaction costs (Q621866) (← links)
- American contingent claims under small proportional transaction costs (Q861832) (← links)
- Explicit characterization of the super-replication strategy in financial markets with partial transaction costs (Q877726) (← links)
- A super-replication theorem in Kabanov's model of transaction costs (Q881423) (← links)
- Option pricing with transaction costs using a Markov chain approximation (Q951502) (← links)
- Brownian moving averages have conditional full support (Q957520) (← links)
- On using shadow prices in portfolio optimization with transaction costs (Q990383) (← links)
- The super-replication problem via probabilistic methods (Q1413690) (← links)
- A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options (Q1630416) (← links)
- Super-replication with fixed transaction costs (Q1737955) (← links)
- Explicit solution to the multivariate super-replication problem under transaction costs. (Q1872495) (← links)
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation (Q1936827) (← links)
- Pricing and hedging in incomplete markets with model uncertainty (Q2286877) (← links)
- On barrier option pricing in binomial market with transaction costs (Q2383667) (← links)
- Consistent price systems and face-lifting pricing under transaction costs (Q2426603) (← links)
- Stochastic targets with mixed diffusion processes and viscosity solutions. (Q2574513) (← links)
- LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS (Q2875729) (← links)
- Utility maximization in markets with bid–ask spreads (Q3017887) (← links)
- Hedging Under an Expected Loss Constraint with Small Transaction Costs (Q3188153) (← links)
- NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS (Q3195490) (← links)
- Pricing a European Basket Option in the Presence of Proportional Transaction Costs (Q3424325) (← links)
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (Q4464011) (← links)
- Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model (Q4548069) (← links)
- Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model (Q4548070) (← links)
- GUARANTEE VALUATION IN NOTIONAL DEFINED CONTRIBUTION PENSION SYSTEMS (Q4563781) (← links)
- Model-Free Price Bounds Under Dynamic Option Trading (Q5162858) (← links)
- ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY (Q5256838) (← links)
- General indifference pricing with small transaction costs (Q5278183) (← links)
- OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (Q5283404) (← links)
- Exact Superreplication Strategies for a Class of Derivative Assets (Q5489327) (← links)
- A dynamic version of the super-replication theorem under proportional transaction costs (Q5876577) (← links)
- Arbitrage and control problems in finance. A presentation (Q5939293) (← links)
- On optimal terminal wealth under transaction costs (Q5939296) (← links)
- Special issue: Arbitrage and control problems in finance (Q5939302) (← links)
