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High-dimensional portfolio optimization with transaction costs
Broadie, Mark; Shen, Weiwei - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-49
Persistent link: https://www.econbiz.de/10011523840
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American options with gradual exercise under proportional transaction costs
Roux, Alet; Zastawniak, Tomasz - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10010498817
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Implicit transaction costs and the fundamental theorems of asset pricing
Allaj, Erindi - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-39
Persistent link: https://www.econbiz.de/10011686967
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Conditional-mean hedging under transaction costs in Gaussian models
Sottinen, Tommi; Viitasaari, Lauri - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10011854596
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Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
Cordero, Fernando; Perez-Ostafe, Lavinia - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-26
Persistent link: https://www.econbiz.de/10011403853
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Utility maximization in a binomial model with transaction costs : a duality approach based on the shadow price process
Bayer, Christian; Veliyev, Bezirgen - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10010391519
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Binary markets under transaction costs
Cordero, Fernando; Klein, Irene; Perez-Ostafe, Lavinia - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10010437205
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Brownian semistationary processes and conditional full support
Pakkanen, Mikko S. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 579-586
Persistent link: https://www.econbiz.de/10009269353
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Vector-valued coherent risk measure processes
Tahar, Imen Ben; Lépinette, Emmanuel - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10010363907
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Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices
Bielecki, Tomasz R.; Cialenco, Igor; Iyigunler, Ismail; … - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10009725092