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~person:"Kabanov, Jurij M."
~subject:"Black-Scholes model"
~subject:"Transaction costs"
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Black-Scholes model
Transaction costs
Transaktionskosten
18
Theorie
15
Theory
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11
Option pricing theory
7
Optionspreistheorie
7
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5
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Kabanov, Jurij M.
Williamson, Oliver E.
55
Yang, Xiaokai
41
Butter, Frank A. G. den
34
Nooteboom, Bart
33
Libecap, Gary D.
32
Foss, Nicolai J.
30
Arruñada, Benito
29
Muhle-Karbe, Johannes
27
Starr, Ross M.
24
Bernard, Andrew B.
19
Bessembinder, Hendrik
19
Hennart, Jean-François Marie André
19
Novy, Dennis
19
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19
Martimort, David
18
Perrakis, Stylianos
18
Degryse, Hans
17
Goldberg, Linda S.
17
Jouini, Elyès
17
Klein, Peter G.
17
Langlois, Richard N.
17
Lepinette, Emmanuel
17
Mahoney, Joseph Timothy
17
Masten, Scott E.
17
Tille, Cédric
17
Todorova, Tamara
17
Anderson, James E.
16
Eberly, Janice C.
16
Verbeke, Alain
16
Allen, Douglas Ward
15
Foss, Kirsten
15
Jacks, David S.
15
Lueck, Dean
15
Meissner, Christopher M.
15
Ménard, Claude
15
Rey, Hélène
15
Spiller, Pablo T.
15
Zant, Wouter
15
Abel, Andrew B.
14
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Finance and stochastics
9
Journal of mathematical economics
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Advances in finance and stochastics : essays in honour of Dieter Sondermann
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering
1
Springer finance
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ECONIS (ZBW)
18
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1
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
Grépat, Julien
;
Kabanov, Jurij M.
- In:
Finance and stochastics
25
(
2021
)
1
,
pp. 167-187
Persistent link: https://www.econbiz.de/10012433525
Saved in:
2
Consumption-investment problem with transaction costs for Lévy-driven price processes
Vallière, Dimitri De
;
Kabanov, Jurij M.
;
Lépinette, …
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 705-740
Persistent link: https://www.econbiz.de/10011531437
Saved in:
3
Essential supremum and essential maximum with respect to random preference relations
Kabanov, Jurij M.
;
Lépinette, Emmanuel
- In:
Journal of mathematical economics
49
(
2013
)
6
,
pp. 488-495
Persistent link: https://www.econbiz.de/10010460320
Saved in:
4
Essential supremum with respect to a random partial order
Kabanov, Jurij M.
;
Lépinette, Emmanuel
- In:
Journal of mathematical economics
49
(
2013
)
6
,
pp. 478-487
Persistent link: https://www.econbiz.de/10010460321
Saved in:
5
Small transaction costs, absence of arbitrage and consistent price systems
Grépat, Julien
;
Kabanov, Jurij M.
- In:
Finance and stochastics
16
(
2012
)
3
,
pp. 357-368
Persistent link: https://www.econbiz.de/10009562323
Saved in:
6
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
Saved in:
7
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
Saved in:
8
Mean square error for the Leland-Lott hedging strategy
Gamys, Moussa
;
Kabanov, Jurij M.
- In:
Recent advances in financial engineering : proceedings …
,
(pp. 1-25)
.
2009
Persistent link: https://www.econbiz.de/10003871153
Saved in:
9
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
Saved in:
10
Markets with transaction costs : mathematical theory
Kabanov, Jurij M.
;
Safarian, Mher M.
-
2009
Persistent link: https://www.econbiz.de/10003697408
Saved in:
1
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