66 citations to 10.1007/s007800050023 (Crossref Cited-By Service)
  1. Christian Y. Robert, Mathieu Rosenbaum, Econophysics of Order-driven Markets, 2011, 203  crossref
  2. Hayne E. Leland, “Comments on “Hedging errors with Leland's option model in the presence of transactions costs””, Finance Research Letters, 4, no. 3, 2007, 200  crossref
  3. JiFeng He, Lan Wu, “Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate”, Sci. China Math., 54, no. 7, 2011, 1457  crossref
  4. Farnaz Farshadmoghadam, Ali Reza Najafi, Mohammad Reza Yaghouti, “European option under a skew version of the GBM model with transaction costs by an RBF method”, Journal of Statistical Computation and Simulation, 91, no. 14, 2021, 2986  crossref
  5. Tomasz Zastawniak, Krzysztof Tokarz, “Dynamic Programming Algorithms for the Ask and Bid Prices of American Options Under Small Proportional Transaction Costs”, SSRN Journal, 2004  crossref
  6. P. Pellizzari, “Static hedging of multivariate derivatives by simulation”, European Journal of Operational Research, 166, no. 2, 2005, 507  crossref
  7. Rudra P. Jena, Peter Tankov, “Arbitrage Opportunities in Misspecified Stochastic Volatility Models”, SIAM J. Finan. Math., 2, no. 1, 2011, 317  crossref
  8. Takaki Hayashi, Per A. Mykland, “EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH”, Mathematical Finance, 15, no. 2, 2005, 309  crossref
  9. Robert Almgren, Tianhui Michael Li, “Option Hedging with Smooth Market Impact”, Mark. Microstructure Liq., 02, no. 01, 2016, 1650002  crossref
  10. Emmanuel Denis, Yuri Kabanov, “Mean square error for the Leland–Lott hedging strategy: convex pay-offs”, Finance Stoch, 14, no. 4, 2010, 625  crossref
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