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No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

Bouchard, Bruno - In: Finance and stochastics 10 (2006) 2, pp. 276-297

Persistent link: https://www.econbiz.de/10003334925

Utility maximization on the real line under proportional transaction costs

Bouchard, Bruno - In: Finance and stochastics 6 (2002) 4, pp. 495-516

Persistent link: https://www.econbiz.de/10001702785

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

Monte-Carlo valuation of American options : facts and new algorithms to improve existing methods

Bouchard, Bruno; Warin, Xavier - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 215-255). 2012

Persistent link: https://www.econbiz.de/10009577193

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

Almost-sure hedging with permanent price impact

Bouchard, Bruno; Loeper, Grégoire; Zou, Yiyi - In: Finance and stochastics 20 (2016) 3, pp. 741-771

Persistent link: https://www.econbiz.de/10011531441

Consistent price systems under model uncertainty

Bouchard, Bruno; Nutz, Marcel - In: Finance and stochastics 20 (2016) 1, pp. 83-98

Persistent link: https://www.econbiz.de/10011459977

A stochastic target approach for P&L matching problems

Bouchard, Bruno; Vu, Thanh Nam - In: Mathematics of operations research 37 (2012) 3, pp. 526-558

Persistent link: https://www.econbiz.de/10009612948

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

Stochastic target games and dynamic programming via regularized viscosity solutions

Bouchard, Bruno; Nutz, Marcel - In: Mathematics of operations research 41 (2016) 1, pp. 109-124

Persistent link: https://www.econbiz.de/10011448306