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Exponential hedging and pricing under proportional transaction costs

Bouchard, Bruno - 2000

Persistent link: https://www.econbiz.de/10001548982

A note on the utility based option pricing with proportional transaction costs under large risk aversion

Bouchard, Bruno - 2000

Persistent link: https://www.econbiz.de/10001548990

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

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

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

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

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

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

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