Similar Search Results

The super-replication theorem under proportional transaction costs revisited

Schachermayer, Walter - In: Mathematics and financial economics 8 (2014) 4, pp. 383-398

Persistent link: https://www.econbiz.de/10010490973

The limitations of no-arbitrage arguments for real options

Hubalek, Friedrich; Schachermayer, Walter - 1999

We consider an option c which is contingent on an underlying (tilde S) that is not a traded asset. This situation typically arises in the context of real options. We investigate the situation when there is a "surrogate" traded asset S whose price process is highly correlated with that of (tilde...

Persistent link: https://www.econbiz.de/10005841724

When does convergence of asset price processes imply convergence of option prices?

Hubalek, Friedrich - In: Mathematical finance : an international journal of … 8 (1998) 4, pp. 385-403

Persistent link: https://www.econbiz.de/10001252755

Shadow prices for continuous processes

Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 623-658

Persistent link: https://www.econbiz.de/10011764961

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

Affine processes and applications in finance

Duffie, Darrell; Filipović, Damir; Schachermayer, Walter - 2002

Persistent link: https://www.econbiz.de/10001704101

The limitations of no-arbitrage arguments for real options

Hubalek, Friedrich; Schachermayer, Walter - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 361-373

Persistent link: https://www.econbiz.de/10001578753

On utility-based pricing of contingent claims in incomplete markets

Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 203-212

Persistent link: https://www.econbiz.de/10002725392

The mathematics of arbitrage

Delbaen, Freddy; Schachermayer, Walter - 2006

Persistent link: https://www.econbiz.de/10002123958

The evaluation of venture capital as an instalment option: valuing real options using real options

Davis, Mark; Schachermayer, Walter; Tompkins, Robert G. - In: Real options, (pp. 77-96). 2004

Persistent link: https://www.econbiz.de/10002385610