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Mean square error for the Leland-Lott hedging strategy : convex pay-offs
Denis, Emmanuel; Kabanov, Jurij M. - In: Finance and stochastics 14 (2010) 4, pp. 625-667
Persistent link: https://www.econbiz.de/10008823687
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Multivariate utility maximization with proportional transaction costs
Campi, Luciano; Owen, Mark P. - In: Finance and stochastics 15 (2011) 3, pp. 461-499
Persistent link: https://www.econbiz.de/10009303226
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Asymptotics for fixed transaction costs
Altarovici, Albert Michael; Muhle-Karbe, Johannes; … - In: Finance and stochastics 19 (2015) 2, pp. 363-414
Persistent link: https://www.econbiz.de/10011418150
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Approximate hedging for nonlinear transaction costs on the volume of traded assets
Elie, Romuald; Lépinette, Emmanuel - In: Finance and stochastics 19 (2015) 3, pp. 541-581
Persistent link: https://www.econbiz.de/10011418291
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The dual optimizer for the growth-optimal portfolio under transaction costs
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, … - In: Finance and stochastics 17 (2013) 2, pp. 325-354
Persistent link: https://www.econbiz.de/10009730811
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Transaction costs, trading volume, and the liquidity premium
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; … - In: Finance and stochastics 18 (2014) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10010235459
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Hysteresis bands on returns, holding period and transaction costs
Delgado, Francisco; Dumas, Bernard; Puopolo, Giovanni W. - In: Journal of banking & finance 57 (2015), pp. 86-100
Persistent link: https://www.econbiz.de/10011543798
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Asymptotic replication with modified volatility under small transaction costs
Cai, Jiatu; Fukasawa, Masaaki - In: Finance and stochastics 20 (2016) 2, pp. 381-431
Persistent link: https://www.econbiz.de/10011471177
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FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn; Smaga, Martin - In: Finance and stochastics 18 (2014) 4, pp. 805-823
Persistent link: https://www.econbiz.de/10010416234
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Asymptotic arbitrage with small transaction costs
Klein, Irene; Lépinette, Emmanuel; Perez-Ostafe, Lavinia - In: Finance and stochastics 18 (2014) 4, pp. 917-939
Persistent link: https://www.econbiz.de/10010416822