Pages that link to "Item:Q4354434"

The following pages link to An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs (Q4354434):

Displaying 50 items.

• Asymptotic replication with modified volatility under small transaction costs (Q287666) (← links)
• Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
• Efficient discretization of stochastic integrals (Q471177) (← links)
• Hedging with small uncertainty aversion (Q503389) (← links)
• Option pricing with transaction costs using a Markov chain approximation (Q951502) (← links)
• European option pricing and hedging with both fixed and proportional transaction costs (Q956487) (← links)
• A numerical method for European option pricing with transaction costs nonlinear equation (Q969982) (← links)
• A new analytical approximation for European puts with stochastic volatility (Q972953) (← links)
• Computing option pricing models under transaction costs (Q980254) (← links)
• Option hedging theory under transaction costs (Q1042722) (← links)
• Optimal trading strategy for European options with transaction costs. (Q1399565) (← links)
• Robust pricing-hedging dualities in continuous time (Q1650938) (← links)
• An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching (Q1656408) (← links)
• Optimal investment and consumption for an insurer with high-watermark performance fee (Q1665626) (← links)
• Stability of Radner equilibria with respect to small frictions (Q1709608) (← links)
• Optimal rebalancing frequencies for multidimensional portfolios (Q1744200) (← links)
• Futures trading with transaction costs (Q1928878) (← links)
• The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044) (← links)
• A multi-asset investment and consumption problem with transaction costs (Q1999598) (← links)
• Utility-indifference pricing of European options with proportional transaction costs (Q2033077) (← links)
• Trading with small nonlinear price impact (Q2192738) (← links)
• Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility (Q2246975) (← links)
• Optimal exercise of American puts with transaction costs under utility maximization (Q2247137) (← links)
• The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs (Q2307920) (← links)
• Asymptotics for fixed transaction costs (Q2339123) (← links)
• Optimal liquidity provision (Q2348293) (← links)
• Model uncertainty, recalibration, and the emergence of delta-vega hedging (Q2412385) (← links)
• A unified approach to portfolio optimization with linear transaction costs (Q2433238) (← links)
• Simple bounds for utility maximization with small transaction costs (Q2668493) (← links)
• A TRANSACTION COST CONVERGENCE RESULT FOR GENERAL HEDGING STRATEGIES (Q2746224) (← links)
• EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS (Q2746235) (← links)
• Asymptotics of Barrier Option Pricing Under the CEV Process (Q2786207) (← links)
• Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
• Asymptotics and duality for the Davis and Norman problem (Q3145080) (← links)
• Hedging Under an Expected Loss Constraint with Small Transaction Costs (Q3188153) (← links)
• OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS (Q3195491) (← links)
• LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS (Q3195492) (← links)
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS (Q3370596) (← links)
• Pricing a European Basket Option in the Presence of Proportional Transaction Costs (Q3424325) (← links)
• Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs (Q3437400) (← links)
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES (Q3444860) (← links)
• Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case (Q3467559) (← links)
• European option pricing with transaction costs and stochastic volatility: an asymptotic analysis (Q3467606) (← links)
• Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (Q3502191) (← links)
• A new computational tool for analysing dynamic hedging under transaction costs (Q3518380) (← links)
• Galerkin methods in dynamic stochastic programming (Q3577835) (← links)
• Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs (Q3647543) (← links)
• THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS (Q3648637) (← links)
• Hedging efficiently under correlation (Q4555159) (← links)