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On transaction-cost models in continuous-time markets
Poufinas, Thomas - In: International Journal of Financial Studies : open … 3 (2015) 2, pp. 102-135
Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs,...
Persistent link: https://www.econbiz.de/10011308467
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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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Fundamental theorem of asset pricing under transaction costs and model uncertainty
Bayraktar, Erhan; Zhang, Yuchong - In: Mathematics of operations research 41 (2016) 3, pp. 1039-1054
Persistent link: https://www.econbiz.de/10011520813
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Essays on derivatives pricing in incomplete markets
Gerer, Johannes - 2016
Persistent link: https://www.econbiz.de/10012128861
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Estimating unobservable valuation parameters for illiquid assets
Boyle, Glenn W.; Guthrie, Graeme A.; Quigley, Neil Clayton - In: Accounting and finance : journal of the Accounting … 49 (2009) 3, pp. 465-479
Persistent link: https://www.econbiz.de/10003889285
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Arbitrage pricing under transaction costs : continuous time
Denis, Emmanuel - In: Recent advances in financial engineering : proceedings …, (pp. 91-106). 2009
Persistent link: https://www.econbiz.de/10003871165
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Option pricing : real and risk-neutral distributions
Kōnstantinidēs, Giōrgos; Jackwerth, Jens Carsten; … - In: Financial engineering, (pp. 565-591). 2008
Persistent link: https://www.econbiz.de/10003567751
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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
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Black and scholes pricing and markets with transaction costs : an example
Reisman, Haim - In: Finance and stochastics 5 (2001) 4, pp. 549-555
Persistent link: https://www.econbiz.de/10001614617
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Option replication cost with transaction costs
Kusuoka, Shigeo - In: Nonlinear and convex analysis in economic theory : …, (pp. 197-202). 1995
Persistent link: https://www.econbiz.de/10001315721