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Explicit characterization of the super-replication strategy in financial markets with partial transaction costs

Bentahar, Imen (contributor); Bouchard, Bruno (contributor) - 2005

We consider a continuous time multivariate financial market with proportional transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in Bouchard and Touzi (2000)...

Persistent link: https://www.econbiz.de/10003324097

No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs

Bouchard, Bruno; Huu, Adrien Nguyen - In: Mathematical finance : an international journal of … 23 (2013) 2, pp. 366-386

Persistent link: https://www.econbiz.de/10009722532

Fundamentals and advanced techniques in derivatives hedging

Bouchard, Bruno; Chassagneux, Jean-François - 2016

Persistent link: https://www.econbiz.de/10011531565

Generalized stochastic target problems for pricing and partial hedging under loss constraints : application in optimal book liquidation

Bouchard, Bruno; Dang, Ngoc-minh - In: Finance and stochastics 17 (2013) 1, pp. 31-72

Persistent link: https://www.econbiz.de/10009682291

Wealth-path dependent utility maximization in incomplete markets

Bouchard, Bruno; Pham, Huyên - In: Finance and stochastics 8 (2004) 4, pp. 579-603

Persistent link: https://www.econbiz.de/10002261514

Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Halil Mete - 2014

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transaction costs is used to obtain a tractable model. A...

Persistent link: https://www.econbiz.de/10010442924

Equilibrium returns with transaction costs

Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; … - In: Finance and stochastics 22 (2018) 3, pp. 569-601

Persistent link: https://www.econbiz.de/10011945871

Robust utility maximization under model uncertainty via a penalization approach

Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei - In: Mathematics and financial economics 16 (2022) 1, pp. 51-88

Persistent link: https://www.econbiz.de/10013167700

Portfolio optimization with a prescribed terminal wealth distribution

Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei - In: Quantitative finance 22 (2022) 2, pp. 333-347

Persistent link: https://www.econbiz.de/10013167753

Performance analysis of the optimal strategy under partial information

Bel Hadj Ayed, Ahmed; Loeper, Grégoire; El Aoud, Sofiene; … - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10011686856