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On the game interpretation of a shadow price process in utility maximization problems under transaction costs
Rochlin, Dmitri B. - In: Finance and stochastics 17 (2013) 4, pp. 819-839
Persistent link: https://www.econbiz.de/10010190873
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On the existence of shadow prices
Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; … - In: Finance and stochastics 17 (2013) 4, pp. 801-818
Persistent link: https://www.econbiz.de/10010190874
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Optimal trading of a security when there are taxes and transaction costs
Cadenillas, Abel; Pliska, Stanley R. - In: Finance and stochastics 3 (1999) 2, pp. 137-165
Persistent link: https://www.econbiz.de/10001367012
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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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Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
Kōnstantinidēs, Giōrgos; Zariphopoulou-Souganidis, … - In: Finance and stochastics 3 (1999) 3, pp. 345-369
Persistent link: https://www.econbiz.de/10001389116
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On Leland's strategy of option pricing with transactions costs
Kabanov, Jurij M. - In: Finance and stochastics 1 (1997) 3, pp. 239-250
Persistent link: https://www.econbiz.de/10001224220
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Option pricing with transaction costs and a nonlinear Black-Scholes equation
Barles, Guy - In: Finance and stochastics 2 (1998) 4, pp. 369-397
Persistent link: https://www.econbiz.de/10001247135
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Portfolio optimisation with strictly positive transaction costs and impulse control
Korn, Ralf - In: Finance and stochastics 2 (1998) 2, pp. 85-114
Persistent link: https://www.econbiz.de/10001235411
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Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030