Pages that link to "Item:Q1901077"

The following pages link to There is no nontrivial hedging portfolio for option pricing with transaction costs (Q1901077):

Displaying 50 items.

• Superreplication when trading at market indifference prices (Q261922) (← links)
• Robust option pricing: Hannan and Blackwell meet Black and Scholes (Q281366) (← links)
• Asymptotic replication with modified volatility under small transaction costs (Q287666) (← links)
• Super-replication with nonlinear transaction costs and volatility uncertainty (Q303967) (← links)
• Duality and convergence for binomial markets with friction (Q354186) (← links)
• Hedging of game options with the presence of transaction costs (Q389062) (← links)
• Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (Q453370) (← links)
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
• Robust hedging with proportional transaction costs (Q468414) (← links)
• The scaling limit of superreplication prices with small transaction costs in the multivariate case (Q522060) (← links)
• Foreign currency option pricing with proportional transaction costs (Q621866) (← links)
• Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model (Q665729) (← links)
• American contingent claims under small proportional transaction costs (Q861832) (← links)
• Explicit characterization of the super-replication strategy in financial markets with partial transaction costs (Q877726) (← links)
• A super-replication theorem in Kabanov's model of transaction costs (Q881423) (← links)
• Option pricing with transaction costs using a Markov chain approximation (Q951502) (← links)
• Dynamic asset pricing theory with uncertain time-horizon (Q956467) (← links)
• Brownian moving averages have conditional full support (Q957520) (← links)
• On the numerical solution of nonlinear Black-Scholes equations (Q1004743) (← links)
• No arbitrage without semimartingales (Q1024894) (← links)
• Option hedging theory under transaction costs (Q1042722) (← links)
• The European option with hereditary price structures (Q1294213) (← links)
• Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach (Q1294549) (← links)
• On the possibility of hedging options in the presence of transaction costs (Q1364395) (← links)
• The super-replication problem via probabilistic methods (Q1413690) (← links)
• Mean-variance hedging for pricing European-type contingent claims with transaction costs. (Q1421067) (← links)
• Sublinear price functionals under portfolio constraints (Q1567183) (← links)
• Option pricing and replication with transaction costs and dividends (Q1583143) (← links)
• Price functionals with bid-ask spreads: An axiomatic approach (Q1592527) (← links)
• Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs. (Q1605429) (← links)
• Pricing of equity indexed annuity under fractional Brownian motion model (Q1723974) (← links)
• Super-replication with fixed transaction costs (Q1737955) (← links)
• Utility based option evaluation with proportional transaction costs (Q1853219) (← links)
• Explicit solution to the multivariate super-replication problem under transaction costs. (Q1872495) (← links)
• Conditional dominance criteria: Definition and application to risk-management (Q1974031) (← links)
• A pseudospectral method for option pricing with transaction costs under exponential utility (Q2029418) (← links)
• A guaranteed deterministic approach to superhedging: financial market model, trading constraints, and the Bellman-Isaacs equations (Q2034828) (← links)
• Option replication with transaction cost under Knightian uncertainty (Q2066047) (← links)
• Generalized optimal liquidation problems across multiple trading venues (Q2165772) (← links)
• Scaling limits for super-replication with transient price impact (Q2174997) (← links)
• Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility (Q2246975) (← links)
• Event risk, contingent claims and the temporal resolution of uncertainty (Q2257042) (← links)
• Continuous-time duality for superreplication with transient price impact (Q2299594) (← links)
• The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs (Q2307920) (← links)
• European option pricing under stochastic volatility jump-diffusion models with transaction cost (Q2308485) (← links)
• Fragility of arbitrage and bubbles in local martingale diffusion models (Q2339115) (← links)
• Consistent price systems and face-lifting pricing under transaction costs (Q2426603) (← links)
• Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming (Q2440802) (← links)
• Small transaction cost asymptotics and dynamic hedging (Q2464226) (← links)
• Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach (Q2464252) (← links)