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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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Approximate hedging in a local volatility model with proportional transaction costs
Lépinette, Emmanuel; Tran, Tuan - In: Applied mathematical finance 21 (2014) 3/4, pp. 313-341
Persistent link: https://www.econbiz.de/10010499677
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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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Hedging options including transaction costs in incomplete markets
Safarian, Mher M. - 2014
In this paper we study a hedging problem for European options taking into account the presence of transaction costs. In … martingale price process shows the existence of a risk minimizing hedging strategy. …
Persistent link: https://www.econbiz.de/10010344251
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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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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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Energy-based assets : modelling, option pricing and delta hedging with transaction costs
Mitra, Sovan - In: International journal of sustainable economy 3 (2011) 1, pp. 20-43
Persistent link: https://www.econbiz.de/10008825411
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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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Quantile hedging on equity-linked life insurance contracts with transaction costs
Melʹnikov, Aleksandr V.; Tong, Shuo - In: Insurance / Mathematics & economics 58 (2014), pp. 77-88
Persistent link: https://www.econbiz.de/10010437626
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Optimal hedging of options with small but arbitrary transaction cost structure
Whalley, A. E.; Wilmott, Paul - 1999
Persistent link: https://www.econbiz.de/10009582836