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Hedging in discrete time under transaction costs and continuous-time limit

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References

1991Brownian motion and stochastic calculus2,089 cited
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1995Stochastic Differential Equations384 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
1999A closed-form solution to the problem of super-replication under transaction costs123 cited
1997On the possibility of hedging options in the presence of transaction costs88 cited
1995Limit Theorem on Option Replication Cost with Transaction Costs79 cited

Cited by

1999Super-replication under proportional transaction costs: From discrete to continuous-time models25 cited
2014Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment22 cited
2015Price Systems for Random Amounts0 cited

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