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Shadow prices for continuous processes
Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 623-658
Persistent link: https://www.econbiz.de/10011764961
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Optimal investment with random endowments and transaction costs : duality theory and shadow prices
Bayraktar, Erhan; Yu, Xiang - In: Mathematics and financial economics 13 (2019) 2, pp. 253-286
Persistent link: https://www.econbiz.de/10012055802
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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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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 super-replication theorem under proportional transaction costs revisited
Schachermayer, Walter - In: Mathematics and financial economics 8 (2014) 4, pp. 383-398
Persistent link: https://www.econbiz.de/10010490973
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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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On the market viability under proportional transaction costs
Bayraktar, Erhan; Yu, Xiang - In: Mathematical finance : an international journal of … 28 (2018) 3, pp. 800-838
Persistent link: https://www.econbiz.de/10011969083
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Arbitrage theory in models with transaction costs beyond efficient friction
Molitor, Alexander - 2022
Persistent link: https://www.econbiz.de/10013187807
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Semimartingale price systems in models with transaction costs beyond efficient friction
Kühn, Christoph; Molitor, Alexander - In: Finance and stochastics 26 (2022) 4, pp. 927-982
Persistent link: https://www.econbiz.de/10013440257