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Asymptotics for fixed transaction costs
Altarovici, Albert Michael; Muhle-Karbe, Johannes; … - In: Finance and stochastics 19 (2015) 2, pp. 363-414
Persistent link: https://www.econbiz.de/10011418150
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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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Option hedging for small investors under liquidity costs
Çetin, Umut; Soner, Halil Mete; Touzi, Nizar - In: Finance and stochastics 14 (2010) 3, pp. 317-341
Persistent link: https://www.econbiz.de/10010216487
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Duality and convergence for binomial markets with friction
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 17 (2013) 3, pp. 447-475
Persistent link: https://www.econbiz.de/10009756032
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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
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Facelifting in utility maximization
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121
Persistent link: https://www.econbiz.de/10011460007
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Conditional Davis pricing
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 24 (2020) 3, pp. 565-599
Persistent link: https://www.econbiz.de/10012518059
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Transaction costs, trading volume, and the liquidity premium
Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; … - In: Finance and stochastics 18 (2014) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10010235459
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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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Asymptotic and exact pricing of options on variance
Keller-Ressel, Martin; Muhle-Karbe, Johannes - In: Finance and stochastics 17 (2013) 1, pp. 107-133
Persistent link: https://www.econbiz.de/10009682289