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In discrete time a local martingale is a martingale under an equivalent probability measure
Kabanov, Jurij M. - In: Finance and stochastics 12 (2008) 3, pp. 293-297
Persistent link: https://www.econbiz.de/10003899176
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Mean square error for the Leland-Lott hedging strategy
Gamys, Moussa; Kabanov, Jurij M. - In: Recent advances in financial engineering : proceedings …, (pp. 1-25). 2009
Persistent link: https://www.econbiz.de/10003871153
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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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Markets with transaction costs : mathematical theory
Kabanov, Jurij M.; Safarian, Mher M. - 2009
Persistent link: https://www.econbiz.de/10003697408
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Hedging under transaction costs in currency markets: a continuous-time model
Kabanov, Jurij M.; Last, Günter - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 63-70
Persistent link: https://www.econbiz.de/10001686166
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Option pricing by large risk aversion utility under transaction costs
Bouchard, Bruno; Kabanov, Jurij M.; Touzi, Nizar - In: Decisions in economics and finance : DEF ; a journal of … 24 (2001) 2, pp. 127-136
Persistent link: https://www.econbiz.de/10001683843
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Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Denis, Emmanuel; Kabanov, Jurij M. - In: Finance and stochastics 16 (2012) 1, pp. 135-154
Persistent link: https://www.econbiz.de/10009423233
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No arbitrage of the first kind and local martingale numéraires
Kabanov, Jurij M.; Kardaras, Constantinos; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 1097-1108
Persistent link: https://www.econbiz.de/10011570475