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Options under Proportional Transaction Costs: An Algorithmic Approach to Pricing and Hedging
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Options under Proportional Transaction Costs: An Algorithmic Approach to Pricing and Hedging (2008)Options under Proportional Transaction Co…Option pricing with transaction costs using a Markov chain approximation (2003)Option pricing with transacti…Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs (2002)Stochastic dominance bounds o…Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities (2001)Bounds on Derivative Prices i…Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences (1999)Bounds on prices of contingen…Mathematics of Derivative Securities (1998)Mathematics of Derivative Sec…Mathematics of Derivative Securities (1997)Mathematics of Derivative Sec…Martingales and Arbitrage in Securities Markets with Transaction Costs (1995)Martingales and Arbitrage in …Limit Theorem on Option Replication Cost with Transaction Costs (1995)Limit Theorem on Option Repli…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…Continuous-Time Finance. (1991)Continuous-Time Finance.Continuous-Time Finance. (1991)Continuous-Time Finance.Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance (1989)On the Application of the Con…A Comparison of Techniques for Dynamic Multivariate Risk Measures (2015)A Comparison of Techniques fo…American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions (2008)American Options under Propor…PORTFOLIO SELECTION* (1952)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs (1991)A Functional Perspective of Financial Intermediation (1995)The theory of financial intermediation (1997)Option pricing: A simplified approach (1979)Capital Market Equilibrium with Transaction Costs (1986)Portfolio Selection with Transaction Costs (1990)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)Optimum consumption and portfolio rules in a continuous-time model (1971)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Option Pricing and Replication with Transactions Costs (1985)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Dynamic Asset Pricing Theory. (1993)Backward Stochastic Differential Equations in Finance (1997)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Asset Pricing in Economies with Frictions (1996)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)Deep hedging (2019)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Intertemporal Asset Pricing Without Consumption Data (1992)Stock Market Crashes, Precursors and Replicas (1996)Equity and Bond Market Signals as Leading Indicators of Bank Fragility (2006)
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References

  • 1991Continuous-Time Finance.1,805 cited
  • 1991Continuous-Time Finance.705 cited
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  • 1993European Option Pricing with Transaction Costs474 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
  • 1998Mathematics of Derivative Securities361 cited
  • 1993Optimal Replication of Options with Transactions Costs and Trading Restrictions208 cited
  • 1989On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance184 cited
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  • 1999Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences126 cited
  • 2002Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs89 cited
  • 2001Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities82 cited
  • 1995Limit Theorem on Option Replication Cost with Transaction Costs

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79 cited
  • 2003Option pricing with transaction costs using a Markov chain approximation69 cited
  • Cited by

    • 2015A Comparison of Techniques for Dynamic Multivariate Risk Measures24 cited
    • 2008American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions17 cited