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Option Pricing and Hedging with Small Transaction Costs

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References

1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
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2002Exponential Hedging and Entropic Penalties369 cited
1998Option pricing with transaction costs and a nonlinear Black-Scholes equation357 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
2002

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Optimal Portfolio Selection with Transaction Costs and Finite Horizons

277 cited

Cited by

2013Portfolio Optimization under Small Transaction Costs: a Convex Duality Approach20 cited
2015Hedging with Small Uncertainty Aversion17 cited