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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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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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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
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The dual optimizer for the growth-optimal portfolio under transaction costs
Gerhold, Stefan; Muhle-Karbe, Johannes; Schachermayer, … - In: Finance and stochastics 17 (2013) 2, pp. 325-354
Persistent link: https://www.econbiz.de/10009730811
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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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Hedging with small uncertainty aversion
Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, … - In: Finance and stochastics 21 (2017) 1, pp. 1-64
Persistent link: https://www.econbiz.de/10011944064
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Model uncertainty, recalibration, and the emergence of delta-vega hedging
Herrmann, Sebastian; Muhle-Karbe, Johannes - In: Finance and stochastics 21 (2017) 4, pp. 873-930
Persistent link: https://www.econbiz.de/10011944452
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A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
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Stability of Radner equilibria with respect to small frictions
Herdegen, Martin; Muhle-Karbe, Johannes - In: Finance and stochastics 22 (2018) 2, pp. 443-502
Persistent link: https://www.econbiz.de/10011945802
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Equilibrium returns with transaction costs
Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; … - In: Finance and stochastics 22 (2018) 3, pp. 569-601
Persistent link: https://www.econbiz.de/10011945871