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Valuing options with transaction costs : a generalized approach from a decision analytic perspective

Ninomiya, Kazuhiro - 2003

Persistent link: https://www.econbiz.de/10003623907

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

A counter-example to an option pricing formula under transaction costs

Roux, Alet; Zastawniak, Tomasz - In: Finance and stochastics 10 (2006) 4, pp. 575-578

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Arbitrage and viability in securities markets with fixed trading costs

Jouini, Elyès; Kallal, Hédi D.; Napp, Clotilde - In: Journal of mathematical economics 35 (2001) 2, pp. 197-221

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No-Arbitrage Pricing of Securities Under Transaction Costs

Prohl, Silke - 2018

These lecture notes summarize standard machinery of an advanced course on Mathematics of Arbitrage. This note is based on material developed in a series of papers published in recent years by Prof. Walter Schachermeyer. The notes must be understood as a complementary material to the book of F....

Persistent link: https://www.econbiz.de/10012935931