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Currency derivatives : pricing theory, exotic options, and hedging applications

DeRosa, David F. (ed.) - 1998

Persistent link: https://www.econbiz.de/10000653853

Super-replication under proportional transaction costs : from discrete to continuous-time models

Touzi, Nizar - In: Mathematical methods of operations research 50 (1999) 2, pp. 297-320

Persistent link: https://www.econbiz.de/10001428812

Minimizing transaction costs of option hedging strategies

Grannan, E. R. - In: Mathematical finance : an international journal of … 6 (1996) 4, pp. 341-364

Persistent link: https://www.econbiz.de/10001208937

Hedging option portfolios in the presence of transaction costs

Hoggard, T. - In: Advances in futures and options research : a research annual 7 (1994), pp. 21-35

Persistent link: https://www.econbiz.de/10001193407

Local risk-minimization under transaction costs

Lamberton, Damien; Pham, Huyên; Schweizer, Martin - 1998

Persistent link: https://www.econbiz.de/10000992328

Alternative currency hedging strategies with known covariances

Chen, Wei; Kritzman, Mark; Turkington, David - In: Journal of investment management : JOIM 13 (2015) 2, pp. 6-24

Persistent link: https://www.econbiz.de/10011635273

Econometric Modeling for Transaction Cost-Adjusted Put-Call Parity : Evidence from the Currency Options Market

Hoque, Ariful - 2010

Due to the mispricing of options, no-arbitrage condition put-call parity (PCP) violations lead to inefficiency in the currency options market. Through transaction costs, the effects of these violations are reduced to negligible levels, indicating that PCP is not a sufficient condition for an...

Persistent link: https://www.econbiz.de/10013148854

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

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

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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