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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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Duality and convergence for binomial markets with friction
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 17 (2013) 3, pp. 447-475
Persistent link: https://www.econbiz.de/10009756032
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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
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Facelifting in utility maximization
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121
Persistent link: https://www.econbiz.de/10011460007
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Option pricing with transaction costs and a nonlinear Black-Scholes equation
Barles, Guy - In: Finance and stochastics 2 (1998) 4, pp. 369-397
Persistent link: https://www.econbiz.de/10001247135
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Conditional Davis pricing
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 24 (2020) 3, pp. 565-599
Persistent link: https://www.econbiz.de/10012518059
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Option hedging for small investors under liquidity costs
Çetin, Umut; Soner, Halil Mete; Touzi, Nizar - In: Finance and stochastics 14 (2010) 3, pp. 317-341
Persistent link: https://www.econbiz.de/10010216487
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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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Utility maximization on the real line under proportional transaction costs
Bouchard, Bruno - In: Finance and stochastics 6 (2002) 4, pp. 495-516
Persistent link: https://www.econbiz.de/10001702785
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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