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A super-replication theorem in Kabanov's model of transaction costs
Campi, Luciano; Schachermayer, Walter - In: Finance and stochastics 10 (2006) 4, pp. 579-596
Persistent link: https://www.econbiz.de/10003405654
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Optimal hedging of derivatives with transaction costs
Aurell, Erik; Muratore-Ginanneschi, Paolo - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1051-1069
Persistent link: https://www.econbiz.de/10003424366
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The best hedging strategy in the presence of transaction costs
Zakamouline, Valeri - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 833-860
Persistent link: https://www.econbiz.de/10003911245
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The cost of illiquidity and its effects on hedging
Rogers, Leonard C. G.; Singh, Surbjeet - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 597-615
Persistent link: https://www.econbiz.de/10008666989
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Mean square error for the Leland-Lott hedging strategy : convex pay-offs
Denis, Emmanuel; Kabanov, Jurij M. - In: Finance and stochastics 14 (2010) 4, pp. 625-667
Persistent link: https://www.econbiz.de/10008823687
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Optimal currency hedging
Albuquerque, Rui - In: Global finance journal 18 (2007) 1, pp. 16-33
Persistent link: https://www.econbiz.de/10003612081
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Markets with transaction costs : mathematical theory
Kabanov, Jurij M.; Safarian, Mher M. - 2009
Persistent link: https://www.econbiz.de/10003697408
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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
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Asset pricing and hedging in financial markets with transaction costs : an approach based on the von Neumann-Gale model
Dempster, Michael A. H.; Evstigneev, Igor V.; Taksar, M. I. - In: Annals of finance 2 (2006) 4, pp. 327-355
Persistent link: https://www.econbiz.de/10003379686
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Discrete-time delta hedging and the Black-Scholes model with transaction costs
Mastinšek, Miklavž - In: Mathematical methods of operations research 64 (2006) 2, pp. 227-236
Persistent link: https://www.econbiz.de/10003380212