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Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
Bichuch, Maxim - In: Finance and stochastics 18 (2014) 3, pp. 651-694
Persistent link: https://www.econbiz.de/10010395976
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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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How non-arbitrage, viability and numéraire portfolio are related
Choulli, Tahir; Deng, Jun; Ma, Junfeng - In: Finance and stochastics 19 (2015) 4, pp. 719-741
Persistent link: https://www.econbiz.de/10011420437
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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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Adaptive basket liquidation
Schöneborn, Torsten - In: Finance and stochastics 20 (2016) 2, pp. 455-493
Persistent link: https://www.econbiz.de/10011471455
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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