Robust hedging with proportional transaction costs

By Dolinsky Yan   Soner H.  

Finance and Stochastics, Vol. 18, Iss. 2, 2014-04 ,pp. : 327-347

Springer Publishing Company

Access to resources Recommend Favorite

An endogenous volatility approach to pricing and hedging call options with transaction costs

By MacLean Leonard C.  

Quantitative Finance, Vol. 13, Iss. 5, 2013-05 ,pp. : 699-712

Routledge Ltd

Access to resources Recommend Favorite

An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs

By Sepp Artur  

Quantitative Finance, Vol. 12, Iss. 7, 2012-07 ,pp. : 1119-1141

Routledge Ltd

Access to resources Recommend Favorite

Time consistency of dynamic risk measures in markets with transaction costs

By Feinstein Zachary   Rudloff Birgit  

Quantitative Finance, Vol. 13, Iss. 9, 2013-09 ,pp. : 1473-1489

Routledge Ltd

Access to resources Recommend Favorite

A counter-example to an option pricing formula under transaction costs

By Roux Alet  

Finance and Stochastics, Vol. 10, Iss. 4, 2006-12 ,pp. : 575-578

Springer Publishing Company

Access to resources Recommend Favorite