SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Derivative Asset Pricing with Transaction Costs: An Extension
10 references·2 citing·35 second hop
Derivative Asset Pricing with Transaction Costs: An Extension (1997)Derivative Asset Pricing with Transaction…Theory of rational option pricing (2005)Theory of rational option pri…Option pricing and replication with transaction costs and dividends (2000)Option pricing and replicatio…There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)There is no Nontrivial Hedgin…Implied Binomial Trees (1994)Implied Binomial TreesOptimal Replication of Options with Transactions Costs and Trading Restrictions (1993)Optimal Replication of Option…European Option Pricing with Transaction Costs (1993)European Option Pricing with …Option Replication in Discrete Time with Transaction Costs (1992)Option Replication in Discret…DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 (1992)DERIVATIVE ASSET PRICING WITH…An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs (1991)An Exact Solution to a Dynami…On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance (1989)On the Application of the Con…AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS (2014)AN ALGORITHM FOR CALCULATING …Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs (2000)Stochastic Dominance Bounds o…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)PORTFOLIO SELECTION* (1952)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Design of Financial Systems: Towards a Synthesis of Function and Structure (2004)DESIGN OF FINANCIAL SYSTEMS: TOWARDS A SYNTHESIS OF FUNCTION AND STRUCTURE (2005)The Case of the Missing Market: The Bond Market and Why it Matters for Financial Development (2006)Option pricing: A simplified approach (1979)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Asset Prices and Trading Volume under Fixed Transactions Costs (2004)Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets (2004)Capital Market Equilibrium with Transaction Costs (1986)Portfolio Selection with Transaction Costs (1990)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Robust hedging of the lookback option (1998)The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Liquidity Risk and Arbitrage Pricing Theory (2010)The valuation of options for alternative stochastic processes (1976)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)Optimum consumption and portfolio rules in a continuous-time model (1971)Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach (2001)Asymptotic analysis for optimal investment and consumption with transaction costs (2004)Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)Option Pricing and Replication with Transactions Costs (1985)Continuous-Time Finance. (1991)Conditional Dependency of Financial Series: The Copula-Garch Model (2003)A solution approach to valuation with unhedgeable risks (2001)Deep hedging (2019)
this work references cited by second hop

References

  • 2005Theory of rational option pricing7,161 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1993European Option Pricing with Transaction Costs474 cited
  • 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1420 cited
  • 1992Option Replication in Discrete Time with Transaction Costs411 cited
  • 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs401 cited
  • 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs286 cited
  • 1993Optimal Replication of Options with Transactions Costs and Trading Restrictions208 cited
  • 1989On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance184 cited
  • 2000Option pricing and replication with transaction costs and dividends47 cited

Cited by

  • 2014AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS35 cited
  • 2000Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs28 cited

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