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Dynamic hedging portfolios for derivative securities in the presence of large transaction costs

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References

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2005On the risk‐adjusted pricing‐methodology‐based valuationof vanilla options and explanation of the volatility smile83 cited
2007Stochastic Dominance Bounds on American Option Prices in Markets with Frictions69 cited
2003Option pricing with transaction costs using a Markov chain approximation69 cited
2008Effectiveness of CPPI strategies under discrete-time trading

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66 cited

1996MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES64 cited

2004A Black–Scholes option pricing model with transaction costs62 cited

2009A numerical method for European Option Pricing with transaction costs nonlinear equation57 cited

2009High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost48 cited

2021Numerical solving of the generalized Black-Scholes differential equation using Laguerre neural network47 cited

2012Finite-Element Methods46 cited

2011Analytical and Numerical Methods for Pricing Financial Derivatives46 cited

2000Consumption-investment problems with transaction costs: Survey and open problems44 cited

2009Numerical Methods for Non-Linear Black–Scholes Equations43 cited