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Asymptotic arbitrage with small transaction costs

Klein, Irene; Lépinette, Emmanuel; Perez-Ostafe, Lavinia - In: Finance and stochastics 18 (2014) 4, pp. 917-939

Persistent link: https://www.econbiz.de/10010416822

Approximate hedging in a local volatility model with proportional transaction costs

Lépinette, Emmanuel; Tran, Tuan - In: Applied mathematical finance 21 (2014) 3/4, pp. 313-341

Persistent link: https://www.econbiz.de/10010499677

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

Essential supremum with respect to a random partial order

Kabanov, Jurij M.; Lépinette, Emmanuel - In: Journal of mathematical economics 49 (2013) 6, pp. 478-487

Persistent link: https://www.econbiz.de/10010460321

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

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

Diffusion equations : convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions

Baptiste, Julien; Lépinette, Emmanuel - In: Applied mathematical finance 25 (2018) 5/6, pp. 511-532

Persistent link: https://www.econbiz.de/10012129179

Risk arbitrage and hedging to acceptability under transaction costs

Lépinette, Emmanuel; Molčanov, Il'ja S. - In: Finance and stochastics 25 (2021) 1, pp. 101-132

Persistent link: https://www.econbiz.de/10012433516

No-arbitrage conditions and pricing from discrete-time to continuous-time strategies

Cherif, Dorsaf; Lépinette, Emmanuel - In: Annals of finance 19 (2023) 2, pp. 141-168

Persistent link: https://www.econbiz.de/10014326684

Barrier option hedging under constraints: a viscosity approach

Bouchard, Bruno; Ben Tahar, Imen - Université Paris-Dauphine (Paris IX) - 2006

We study the problem of ﬁnding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constrained to lie in a closed convex domain. In the context of a Brownian diﬀusion model, we provide a...

Persistent link: https://www.econbiz.de/10011099441