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Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
16 references·2 citing·27 second hop
Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (2008)Dynamic hedging of single and multi-dimen…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Stochastic Programming (2010)Stochastic ProgrammingStochastic Linear Programming (2010)Stochastic Linear ProgrammingTheory of rational option pricing (2005)Theory of rational option pri…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Introduction to Stochastic Programming (1998)Introduction to Stochastic Pr…Stochastic Programming (1995)Stochastic ProgrammingStochastic Programming (1995)Stochastic ProgrammingA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Introduction to Operations Research (1968)Introduction to Operations Re…Pairs trading under transaction costs using model predictive control (2017)Pairs trading under transacti…On stock trading using a PI controller in an idealized market: The robust positive expectation property (2013)On stock trading using a PI c…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 Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Chance-Constrained Programming (1959)Robust solutions of uncertain linear programs (1999)Conditional value-at-risk for general loss distributions (2002)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Theory and Applications of Robust Optimization (2010)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Ambulance location and relocation models (2003)Stochastic Programming Models (2003)A two-stage stochastic programming framework for transportation planning in disaster response (2004)Option pricing: A simplified approach (1979)Optimization under uncertainty: state-of-the-art and opportunities (2003)Adjustable robust solutions of uncertain linear programs (2004)Lectures on Stochastic Programming: Modeling and Theory (2009)
this work references cited by second hop

References

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  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1973Theory of Rational Option Pricing8,060 cited
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  • 1990Portfolio Selection with Transaction Costs1,318 cited
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  • 2017Pairs trading under transaction costs using model predictive control24 cited
  • 2013On stock trading using a PI controller in an idealized market: The robust positive expectation property21 cited