Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

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

Option pricing by large risk aversion utility¶under transaction costs

11 references·3 citing·39 second hop

FromToDepth

this work references cited by second hop

References

1994Optimal Investment and Consumption with Transaction Costs622 cited
1989Optimal replication of contingent claims under transaction costs605 cited
1993European Option Pricing with Transaction Costs474 cited
2002Exponential Hedging and Entropic Penalties369 cited
1998Option pricing with transaction costs and a nonlinear Black-Scholes equation357 cited
1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12317 cited
1999Hedging and liquidation under transaction costs in currency markets257 cited
1999A closed-form solution to the problem of super-replication under transaction costs123 cited
2002Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model71 cited
2000Explicit solution to the multivariate super-replication problem under transaction costs49 cited
2002Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model47 cited

Cited by

2006Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs23 cited
2007No arbitrage conditions and liquidity17 cited
2005Bounds for the utility-indifference prices of non-traded assets in incomplete markets16 cited

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