SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS
14 references·1 citing·35 second hop
AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS (2014)AN ALGORITHM FOR CALCULATING THE SET OF S…Set-valued risk measures for conical market models (2011)Set-valued risk measures for …COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME (2011)COMPOSITION OF TIME-CONSISTEN…Duality for Set-Valued Measures of Risk (2010)Duality for Set-Valued Measur…The decoupling approach to binomial pricing of multi-asset options (2009)The decoupling approach to bi…Markets with Transaction Costs (2009)Markets with Transaction CostsStochastic Finance (2004)Stochastic FinanceNo-arbitrage criteria for financial markets with efficient friction (2002)No-arbitrage criteria for fin…The Harrison–Pliska arbitrage pricing theorem under transaction costs (2001)The Harrison–Pliska arbitrage…Hedging and liquidation under transaction costs in currency markets (1999)Hedging and liquidation under…Derivative Asset Pricing with Transaction Costs: An Extension (1997)Derivative Asset Pricing with…Martingales and Arbitrage in Securities Markets with Transaction Costs (1995)Martingales and Arbitrage in …Option Replication in Discrete Time with Transaction Costs (1992)Option Replication in Discret…DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 (1992)DERIVATIVE ASSET PRICING WITH…Valuing Derivative Securities Using the Explicit Finite Difference Method (1990)Valuing Derivative Securities…Multi-portfolio time consistency for set-valued convex and coherent risk measures (2014)Multi-portfolio time consiste…Martingales and stochastic integrals in the theory of continuous trading (1981)Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Dual Formulation of the Utility Maximization Problem Under Transaction Costs (2001)On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property (2003)Coherent Measures of Risk (1999)The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)Set-valued average value at risk and its computation (2013)MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2014)Option pricing: A simplified approach (1979)Capital Market Equilibrium with Transaction Costs (1986)Portfolio Selection with Transaction Costs (1990)There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)Dynamic programming for stochastic target problems and geometric flows (2002)Vector-valued coherent risk measures (2004)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The impact of default risk on the prices of options and other derivative securities (1995)Valuing Options in Regime-Switching Models (1998)Valuing American Options in a Path Simulation Model (2002)Maxmin expected utility with non-unique prior (1989)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2009)Dynamic Risk Measures (2011)Risk Preferences and Their Robust Representation (2012)Option Pricing and Replication with Transactions Costs (1985)Continuous-Time Finance. (1991)Asset Pricing in Economies with Frictions (1996)Convex Duality in Stochastic Optimization and Mathematical Finance (2011)Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case (2015)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)
this work references cited by second hop

References

  • 2004Stochastic Finance701 cited
  • 1995Martingales and Arbitrage in Securities Markets with Transaction Costs424 cited
  • 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1420 cited
  • 1992Option Replication in Discrete Time with Transaction Costs411 cited
  • 1990Valuing Derivative Securities Using the Explicit Finite Difference Method335 cited
  • 1999Hedging and liquidation under transaction costs in currency markets257 cited
  • 2009Markets with Transaction Costs188 cited
  • 2010Duality for Set-Valued Measures of Risk157 cited
  • 2011COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME147 cited
  • 2001The Harrison–Pliska arbitrage pricing theorem under transaction costs121 cited
  • 2011Set-valued risk measures for conical market models117 cited
  • 2002No-arbitrage criteria for financial markets with efficient friction98 cited
  • 1997Derivative Asset Pricing with Transaction Costs: An Extension45 cited
  • 2009The decoupling approach to binomial pricing of multi-asset options39 cited

Cited by

  • 2014Multi-portfolio time consistency for set-valued convex and coherent risk measures

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

40 cited