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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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Efficient hedging: cost versus shortfall risk
Föllmer, Hans; Leukert, Peter - In: Finance and stochastics 4 (2000) 2, pp. 117-146
Persistent link: https://www.econbiz.de/10001486684
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On the game interpretation of a shadow price process in utility maximization problems under transaction costs
Rochlin, Dmitri B. - In: Finance and stochastics 17 (2013) 4, pp. 819-839
Persistent link: https://www.econbiz.de/10010190873
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On the existence of shadow prices
Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; … - In: Finance and stochastics 17 (2013) 4, pp. 801-818
Persistent link: https://www.econbiz.de/10010190874
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Almost-sure hedging with permanent price impact
Bouchard, Bruno; Loeper, Grégoire; Zou, Yiyi - In: Finance and stochastics 20 (2016) 3, pp. 741-771
Persistent link: https://www.econbiz.de/10011531441
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Dynamic optimal execution in a mixed-market-impact Hawkes price model
Alfonsi, Aurélien; Blanc, Pierre - In: Finance and stochastics 20 (2016) 1, pp. 183-218
Persistent link: https://www.econbiz.de/10011460309
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Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Finance and stochastics 25 (2021) 4, pp. 757-810
Persistent link: https://www.econbiz.de/10012665227
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The self-financing equation in limit order book markets
Carmona, René; Webster, Kevin - In: Finance and stochastics 23 (2019) 3, pp. 729-759
Persistent link: https://www.econbiz.de/10012023769
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No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
Bouchard, Bruno - In: Finance and stochastics 10 (2006) 2, pp. 276-297
Persistent link: https://www.econbiz.de/10003334925
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No arbitrage and closure results for trading cones with transaction costs
Jacka, Saul D.; Berkaoui, Abdelkarem; Warren, Jon - In: Finance and stochastics 12 (2008) 4, pp. 583-600
Persistent link: https://www.econbiz.de/10003899281