References

• 1973The Pricing of Options and Corporate Liabilities29,064 cited
• 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
• 1985A Theory of the Term Structure of Interest Rates8,333 cited
• 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
• 1985Option Pricing and Replication with Transactions Costs916 cited
• 1989Optimal replication of contingent claims under transaction costs605 cited
• 2008Mathematical Models of Financial Derivatives567 cited
• 1993European Option Pricing with Transaction Costs474 cited
• 1998Option pricing with transaction costs and a nonlinear Black-Scholes equation357 cited
• 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs286 cited
• 1997An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs223 cited
• 1995Mean-Variance Hedging of Options on Stocks with Markov Volatilities196 cited
• 2004A Black–Scholes option pricing model with transaction costs62 cited
• 2012A new exact solution for pricing European options in a two-state regime-switching economy60 cited
• 2016Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs