Paolo Guasoni, Miklós Rásonyi, Walter Schachermayer, “Consistent price systems and face-lifting pricing under transaction costs”, Ann. Appl. Probab., 18, no. 2, 2008
SHUNMING ZHANG, CHUNLEI XU, XIAOTIE DENG, “Dynamic Arbitrage‐Free Asset Pricing with Proportional Transaction Costs”, Mathematical Finance, 12, no. 1, 2002, 89
Yuri Kabanov, Christophe Stricker, 1934, Séminaire de Probabilités XLI, 2008, 439
Peter Christoffersen, Redouane Elkamhi, Bruno Feunou, Kris Jacobs, “Option Valuation with Conditional Heteroskedasticity and Nonnormality”, Rev. Financ. Stud., 23, no. 5, 2010, 2139
S. N. Smirnov, “A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints”, Theory Probab. Appl., 67, no. 4, 2023, 548
Manfred Schäl, “On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability”, Scandinavian Actuarial Journal, 2004, no. 3, 2004, 189
Romain Blanchard, Laurence Carassus, “Multiple-priors optimal investment in discrete time for unbounded utility function”, Ann. Appl. Probab., 28, no. 3, 2018
Sergey N. Smirnov, Basil Papadopoulos, “Realistic Models of Financial Market and Structural Stability”, Journal of Mathematics, 2021, 2021, 1
Luciano Campi, Claude Martini, “On the support of extremal martingale measures with given marginals: the countable case”, Adv. Appl. Probab., 51, no. 2, 2019, 570
Александр Семенович Черный, Aleksander Semenovich Cherny, “Нахождение справедливых цен на основе когерентных мер риска”, ТВП, 52, no. 3, 2007, 506