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Option pricing and hedging with execution costs and market impact
Guéant, Olivier; Pu, Jiang - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
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Power utility maximization in constrained exponential Lévy models
Nutz, Marcel - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 690-709
Persistent link: https://www.econbiz.de/10009614940
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Limit theorems for partial hedging under transaction costs
Dolinsky, Yan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 567-597
Persistent link: https://www.econbiz.de/10010486001
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Option pricing and hedging with small transaction costs
Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 702-723
Persistent link: https://www.econbiz.de/10011350527
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Approximate hedging problem with transaction costs in stochastic volatility markets
Thai Huu Nguyen; Pergamenshchikov, Serguei - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 832-865
Persistent link: https://www.econbiz.de/10011764979
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Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287
Persistent link: https://www.econbiz.de/10011350647
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Minimizing transaction costs of option hedging strategies
Grannan, E. R. - In: Mathematical finance : an international journal of … 6 (1996) 4, pp. 341-364
Persistent link: https://www.econbiz.de/10001208937
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Multidimensional portfolio optimization with proportional transaction costs
Muthuraman, Kumar; Kumar, Sunil - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 301-335
Persistent link: https://www.econbiz.de/10003325969
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A stochastic control approach to risk management under restricted information
Runggaldier, Wolfgang J.; Zaccaria Ruggiu, Annapaola - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 277-288
Persistent link: https://www.econbiz.de/10002177738
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Should stochastic volatility matter to the cost-constrained investor
Weiner, Scott M. - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 131-139
Persistent link: https://www.econbiz.de/10001917816