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Small transaction cost asymptotics and dynamic hedging
16 references·0 citing·32 second hop
Small transaction cost asymptotics and dynamic hedging (2006)Small transaction cost asymptotics and dy…Theory of rational option pricing (2005)Theory of rational option pri…Gain, Loss, and Asset Pricing (2000)Gain, Loss, and Asset PricingBeyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Beyond Arbitrage: Good‐Deal A…Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets (1996)Beyond Arbitrage: "Good-Deal"…There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)There is no Nontrivial Hedgin…Optimal 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…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Options Arbitrage in Imperfect Markets (1989)Options Arbitrage in Imperfec…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…Discretely adjusted option hedges (1980)Discretely adjusted option he…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…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)Option pricing: A simplified approach (1979)Capital Market Equilibrium with Transaction Costs (1986)Optimal Investment and Consumption with Transaction Costs (1994)Optimal control of execution costs (1998)Financial Systems and the Role of Banks in Monetary Policy Transmission in the Euro Area (2010)Prospect theory: An analysis of decision under risk (1988)Arbitrage Theory in Continuous Time (2004)Demand-Based Option Pricing (2005)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)Brownian Motion and Stochastic Flow Systems. (1987)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Arbitrage Theory in Continuous Time (1998)Portfolio Choice in the Presence of Housing (2004)Portfolio selection with transactions costs (1976)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)An Engine, Not a Camera (2006)Common risk factors in the returns on stocks and bonds (1993)Investment under Uncertainty (1994)Valuation in Over-the-Counter Markets (2007)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Deep hedging (2019)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1985Option Pricing and Replication with Transactions Costs916 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2000Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets476 cited
  • 2000Gain, Loss, and Asset Pricing475 cited
  • 1993European Option Pricing with Transaction Costs474 cited
  • 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1420 cited
  • 1992Option Replication in Discrete Time with Transaction Costs411 cited
  • 1996Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets405 cited
  • 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs286 cited
  • 1989Options Arbitrage in Imperfect Markets280 cited
  • 1993Optimal Replication of Options with Transactions Costs and Trading Restrictions208 cited
  • 1980Discretely adjusted option hedges

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