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Hedging and liquidation under transaction costs in currency markets
Kabanov, Yuri M. - In: Finance and stochastics 3 (1999) 2, pp. 237-248
Persistent link: https://www.econbiz.de/10001367370
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A closed-form solution to the problem of super-replication under transaction costs
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar - In: Finance and stochastics 3 (1999) 1, pp. 35-54
Persistent link: https://www.econbiz.de/10001367451
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Hedging options under transaction costs and stochastic volatility
Gondzio, Jacek; Kouwenberg, Roy; Vorst, Ton - 1999
Persistent link: https://www.econbiz.de/10001447155
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Hedging of contingent claims under transaction costs
Kabanov, Jurij M.; Stricker, Christophe - In: Advances in finance and stochastics : essays in honour …, (pp. 125-136). 2002
Persistent link: https://www.econbiz.de/10001672229
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No-arbitrage criteria for financial markets with efficient friction
Kabanov, Jurij M.; Rásonyi, Miklós; Stricker, Christophe - In: Finance and stochastics 6 (2002) 3, pp. 371-382
Persistent link: https://www.econbiz.de/10001680685
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Efficient option replication in the presence of transactions costs
Martellini, Lionel - In: Review of derivatives research 4 (2000) 2, pp. 107-131
Persistent link: https://www.econbiz.de/10001566793
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Hedging options under transaction costs and stochastic volatility
Gondzio, Jacek; Kouwenberg, Roy; Vorst, Ton - In: Journal of economic dynamics & control 27 (2003) 6, pp. 1045-1068
Persistent link: https://www.econbiz.de/10001734558
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On the closedness of sums of convex cones in L O and the robust no-arbitrage property
Kabanov, Jurij M.; Rásonyi, Miklós; Stricker, Christophe - In: Finance and stochastics 7 (2003) 3, pp. 403-411
Persistent link: https://www.econbiz.de/10001772721
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Randomized stopping times and American option pricing with transaction costs
Chalasani, Prasad; Jha, Somesh - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 33-77
Persistent link: https://www.econbiz.de/10001650918
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Leland's approach to option pricing : the evolution of a discontinuity
Grandits, Peter; Schachinger, Werner - In: Mathematical finance : an international journal of … 11 (2001) 3, pp. 347-355
Persistent link: https://www.econbiz.de/10001651168