Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Hedging of Contingent Claims under Transaction Costs

16 references·9 citing·30 second hop

FromToDepth

this work references cited by second hop

References

2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
1994A general version of the fundamental theorem of asset pricing1,447 cited
1995Martingales and Arbitrage in Securities Markets with Transaction Costs424 cited
1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets324 cited
1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12317 cited
1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs286 cited
2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time278 cited
1999Hedging and liquidation under transaction costs in currency markets257 cited
1997Optional decompositions under constraints220 cited
1992REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED201 cited
1997Optional decomposition and Lagrange multipliers149 cited
1999A closed-form solution to the problem of super-replication under transaction costs123 cited
2002No-arbitrage criteria for financial markets with efficient friction98 cited
1997On the possibility of hedging options in the presence of transaction costs88 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2002

Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model

71 cited

2003On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property70 cited

Cited by

2010Multivariate utility maximization with proportional transaction costs43 cited
2019Representation of Martingales with Jumps and Applications to Mathematical Finance41 cited
2004A geometric approach to portfolio optimization in models with transaction costs32 cited
2008Hedging of American options under transaction costs27 cited
2011Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs26 cited
2017Optimal consumption under habit formation in markets with transaction costs and random endowments26 cited
2014Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment22 cited
2014Admissible Trading Strategies Under Transaction Costs21 cited
2009Arbitrage Under Transaction Costs Revisited20 cited