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FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn; Smaga, Martin - In: Finance and stochastics 18 (2014) 4, pp. 805-823
Persistent link: https://www.econbiz.de/10010416234
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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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Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
Bichuch, Maxim - In: Finance and stochastics 18 (2014) 3, pp. 651-694
Persistent link: https://www.econbiz.de/10010395976
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Approximate hedging for nonlinear transaction costs on the volume of traded assets
Elie, Romuald; Lépinette, Emmanuel - In: Finance and stochastics 19 (2015) 3, pp. 541-581
Persistent link: https://www.econbiz.de/10011418291
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Asymptotic replication with modified volatility under small transaction costs
Cai, Jiatu; Fukasawa, Masaaki - In: Finance and stochastics 20 (2016) 2, pp. 381-431
Persistent link: https://www.econbiz.de/10011471177
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Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter - In: Finance and stochastics 22 (2018) 1, pp. 161-180
Persistent link: https://www.econbiz.de/10011945647
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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
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Optimal investment and consumption for financial markets with jumps under transaction costs
Egorov, Sergei; Pergamenchtchikov, Serguei - In: Finance and stochastics 28 (2024) 1, pp. 123-159
Persistent link: https://www.econbiz.de/10014447608
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Black and scholes pricing and markets with transaction costs : an example
Reisman, Haim - In: Finance and stochastics 5 (2001) 4, pp. 549-555
Persistent link: https://www.econbiz.de/10001614617
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Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
Kühn, Christoph; Molitor, Alexander - In: Finance and stochastics 23 (2019) 4, pp. 1049-1077
Persistent link: https://www.econbiz.de/10012114690