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Essays on market frictions and model misspecification in asset pricing
Seeger, Norman - 2009
Persistent link: https://www.econbiz.de/10003863665
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Hedging errors with Leland's option model in the presence of transaction costs
Zhao, Yonggan; Ziemba, William T. - In: Finance research letters 4 (2007) 1, pp. 49-58
Persistent link: https://www.econbiz.de/10003442070
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Option hedging theory under transaction costs
Lai, Tze Leung; Lim, Tiong Wee - In: Journal of economic dynamics & control 33 (2009) 12, pp. 1945-1961
Persistent link: https://www.econbiz.de/10003908249
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Hedging of American options under transaction costs
De Vallière, D.; Denis, E.; Kabanov, Jurij M. - In: Finance and stochastics 13 (2009) 1, pp. 105-119
Persistent link: https://www.econbiz.de/10003939485
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Approximate hedging of contingent claims under transaction costs for general pay-offs
Denis, Emmanuel - In: Applied mathematical finance 17 (2010) 5/6, pp. 491-518
Persistent link: https://www.econbiz.de/10008797238
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Option pricing and hedging in the presence of transaction costs and nonlinear partial differential equations
Zakamouline, Valeri - In: Financial hedging, (pp. 199-241). 2009
Persistent link: https://www.econbiz.de/10008799126
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Energy-based assets : modelling, option pricing and delta hedging with transaction costs
Mitra, Sovan - In: International journal of sustainable economy 3 (2011) 1, pp. 20-43
Persistent link: https://www.econbiz.de/10008825411
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The least cost super replicating portfolio in the Boyle-Vorst model with transaction costs
Chen, Guan-Yu; Palmer, Kem; Sheu, Yuan-Chung - In: International journal of theoretical and applied finance 11 (2008) 1, pp. 55-85
Persistent link: https://www.econbiz.de/10003692725
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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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An integer programming model for pricing American contingent claims under transaction costs
Pınar, M. Ç.; Camcı, A. - In: Computational economics 39 (2012) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10009508053