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Optimality of replication in the CRR model with transaction costs

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References

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1994Dynamic hedging portfolios for derivative securities in the presence of large transaction costs118 cited

Cited by

2008Options under Proportional Transaction Costs: An Algorithmic Approach to Pricing and Hedging20 cited
2008American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions17 cited
2003A non-arbitrage liquidity model with observable parameters for derivatives16 cited