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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
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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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The least cost super replicating portfolio in the Boyle-Vorst model with transaction costs
Chen, Guan-Yu; Palmer, Kem; Sheu, Yuan-Chung - In: International journal of theoretical and applied finance 11 (2008) 1, pp. 55-85
Persistent link: https://www.econbiz.de/10003692725
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Pricing and hedging game options in currency models with proportional transaction costs
Roux, Alet - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-25
Persistent link: https://www.econbiz.de/10011568851
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On the numerical aspects of optimal option hedging with transaction costs
Josephy, Norman H.; Kimball, Lucia; Steblovskaya, Victoria - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011686780
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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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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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Singular perturbation expansion for utility maximization with order-ϵ quadratic transaction costs
Chandra, Shiva; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-18
Persistent link: https://www.econbiz.de/10012153330
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An explicit option-based strategy that outperforms dollar cost averaging
Vanduffel, Steven; Ahcan, Ales; Henrard, Luc; Maj, Mateusz - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10009624518
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Implications for hedging of the choice of driving process for one-factor Markov-functional models
Kennedy, Joanne E.; Pham, Duy - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-51
Persistent link: https://www.econbiz.de/10009783994