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Asymptotic theory of transaction costs

Schachermayer, Walter - 2017

Persistent link: https://www.econbiz.de/10011763489

A super-martingale property of the optimal portfolio process

Schachermayer, Walter - In: Finance and stochastics 7 (2003) 4, pp. 433-456

Persistent link: https://www.econbiz.de/10001800676

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

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 fundamental theorem of asset pricing for continuous processes under small transaction costs

Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter - In: Annals of finance 6 (2010) 2, pp. 157-191

Persistent link: https://www.econbiz.de/10003941214

The mathematics of arbitrage

Delbaen, Freddy; Schachermayer, Walter - 2008 - Corrected 2. printing

Persistent link: https://www.econbiz.de/10003896513

How close are the option pricing formulas of Bachelier and Black-Merton-Scholes?

Schachermayer, Walter; Teichmann, Josef - In: Mathematical finance : an international journal of … 18 (2008) 1, pp. 155-170

Persistent link: https://www.econbiz.de/10003643489

From Bachelier to Dupire via optimal transport

Beiglböck, Mathias; Pammer, Gudmund; Schachermayer, Walter - In: Finance and stochastics 26 (2022) 1, pp. 59-84

Persistent link: https://www.econbiz.de/10012796471

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets

Kreps, David M.; Schachermayer, Walter - In: Theoretical economics : TE ; an open access journal in … 16 (2021) 1, pp. 25-47

We examine the connection between discrete-time models of financial markets and the celebrated Black--Scholes--Merton (BSM) continuous-time model in which ''markets are complete." Suppose that (a) the probability law of a sequence of discrete-time models converges to the law of the BSM model and...

Persistent link: https://www.econbiz.de/10012415568