Pages that link to "Item:Q1894626"
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The following pages link to Limit theorem on option replication cost with transaction costs (Q1894626):
Displaying 31 items.
- Super-replication with nonlinear transaction costs and volatility uncertainty (Q303967) (← links)
- Duality and convergence for binomial markets with friction (Q354186) (← links)
- The scaling limit of superreplication prices with small transaction costs in the multivariate case (Q522060) (← links)
- Weak approximation of \(G\)-expectations (Q665446) (← links)
- Approximating stochastic volatility by recombinant trees (Q744390) (← links)
- Portfolio insurance with liquidity risk (Q841847) (← links)
- American contingent claims under small proportional transaction costs (Q861832) (← links)
- Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007) (← links)
- Options under proportional transaction costs: An algorithmic approach to pricing and hedging (Q944910) (← links)
- A numerical method for European option pricing with transaction costs nonlinear equation (Q969982) (← links)
- Computing option pricing models under transaction costs (Q980254) (← links)
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations (Q1004744) (← links)
- Option replication with transaction costs: general diffusion limits (Q1296601) (← links)
- Limit theorem for Leland's strategy (Q1425487) (← links)
- Price functionals with bid-ask spreads: An axiomatic approach (Q1592527) (← links)
- Super-replication with fixed transaction costs (Q1737955) (← links)
- On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs (Q2022760) (← links)
- Scaling limits for super-replication with transient price impact (Q2174997) (← links)
- Continuous-time duality for superreplication with transient price impact (Q2299594) (← links)
- Numeraire portfolios and utility-based price systems under proportional transaction costs (Q2343095) (← links)
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs (Q2453260) (← links)
- Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process (Q2874727) (← links)
- Option Replication in Discrete Time with Illiquidity (Q3176524) (← links)
- Optimal growth rate in random trade time (Q3400020) (← links)
- Mean-Variance Hedging with Uncertain Trade Execution (Q3652692) (← links)
- Game options with gradual exercise and cancellation under proportional transaction costs (Q5086463) (← links)
- A Diffusion Limit for Generalized Correlated Random Walks (Q5488989) (← links)
- Arbitrage and control problems in finance. A presentation (Q5939293) (← links)
- On optimal terminal wealth under transaction costs (Q5939296) (← links)
- Special issue: Arbitrage and control problems in finance (Q5939302) (← links)
- A Fréchet derivative‐based novel approach to option pricing models in illiquid markets (Q6188915) (← links)
