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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
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No-arbitrage criteria for financial markets with transaction costs and incomplete information
De Vallière, Dimitry; Kabanov, Yuri; Stricker, Christophe - In: Finance and stochastics 11 (2007) 2, pp. 237-251
Persistent link: https://www.econbiz.de/10003439760
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A counter-example to an option pricing formula under transaction costs
Roux, Alet; Zastawniak, Tomasz - In: Finance and stochastics 10 (2006) 4, pp. 575-578
Persistent link: https://www.econbiz.de/10003405651
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A super-replication theorem in Kabanov's model of transaction costs
Campi, Luciano; Schachermayer, Walter - In: Finance and stochastics 10 (2006) 4, pp. 579-596
Persistent link: https://www.econbiz.de/10003405654
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Hedging of American options under transaction costs
De Vallière, D.; Denis, E.; Kabanov, Jurij M. - In: Finance and stochastics 13 (2009) 1, pp. 105-119
Persistent link: https://www.econbiz.de/10003939485
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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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Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030
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Fragility of arbitrage and bubbles in local martingale diffusion models
Guasoni, Paolo; Rásonyi, Miklós - In: Finance and stochastics 19 (2015) 2, pp. 215-231
Persistent link: https://www.econbiz.de/10011417713