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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
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On the closedness of sums of convex cones in L O and the robust no-arbitrage property
Kabanov, Jurij M.; Rásonyi, Miklós; Stricker, Christophe - In: Finance and stochastics 7 (2003) 3, pp. 403-411
Persistent link: https://www.econbiz.de/10001772721
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Hedging of contingent claims under transaction costs
Kabanov, Jurij M.; Stricker, Christophe - In: Advances in finance and stochastics : essays in honour …, (pp. 125-136). 2002
Persistent link: https://www.econbiz.de/10001672229
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Implied savings accounts are unique
Döberlein, Frank; Schweizer, Martin; Stricker, Christophe - In: Finance and stochastics 4 (2000) 4, pp. 431-442
Persistent link: https://www.econbiz.de/10001539196
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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 by large risk aversion utility under transaction costs
Bouchard, Bruno; Kabanov, Jurij M.; Touzi, Nizar - In: Decisions in economics and finance : DEF ; a journal of … 24 (2001) 2, pp. 127-136
Persistent link: https://www.econbiz.de/10001683843
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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
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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
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Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
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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