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European Option Pricing with Transaction Costs

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1990Portfolio Selection with Transaction Costs1,318 cited
1985Option Pricing and Replication with Transactions Costs915 cited

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2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach

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2008Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem141 cited

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