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Hedging of contingent claims under transaction costs

Kabanov, Jurij M.; Stricker, Christophe - In: Advances in finance and stochastics : essays in honour …, (pp. 125-136). 2002

Persistent link: https://www.econbiz.de/10001672229

On Leland's strategy of option pricing with transactions costs

Kabanov, Jurij M. - In: Finance and stochastics 1 (1997) 3, pp. 239-250

Persistent link: https://www.econbiz.de/10001224220

Essential supremum and essential maximum with respect to random preference relations

Kabanov, Jurij M.; Lépinette, Emmanuel - In: Journal of mathematical economics 49 (2013) 6, pp. 488-495

Persistent link: https://www.econbiz.de/10010460320

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

Hedging of American options under transaction costs

De Vallière, D.; Denis, E.; Kabanov, Jurij M. - In: Finance and stochastics 13 (2009) 1, pp. 105-119

Persistent link: https://www.econbiz.de/10003939485

Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process

Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69

Persistent link: https://www.econbiz.de/10012253340

On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs

Grépat, Julien; Kabanov, Jurij M. - In: Finance and stochastics 25 (2021) 1, pp. 167-187

Persistent link: https://www.econbiz.de/10012433525

Hedging and liquidation under transaction costs in currency markets

Kabanov, Yuri M. - In: Finance and stochastics 3 (1999) 2, pp. 237-248

Persistent link: https://www.econbiz.de/10001367370

Implied savings accounts are unique

Döberlein, Frank; Schweizer, Martin; Stricker, Christophe - In: Finance and stochastics 4 (2000) 4, pp. 431-442

Persistent link: https://www.econbiz.de/10001539196

Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs

Kabanov, Youri - 2015

We consider a consumption-investment optimization problem for the Kabanov model when the proportional transaction costs rate is constant and the prices are modeled by a Lévy process. We naturally extend the preliminary work of [4] to portfolio processes that are only supposed to be làdlàg....

Persistent link: https://www.econbiz.de/10013034994