66 citations to 10.1007/s007800050023 (Crossref Cited-By Service)
  1. Farshid Mehrdoust, Ali Reza Najafi, “Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function”, Comput Econ, 52, no. 2, 2018, 685  crossref
  2. Thai Huu Nguyen, Serguei Pergamenshchikov, “APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS”, Mathematical Finance, 27, no. 3, 2017, 832  crossref
  3. Laurent Gauthier, “A TRANSACTION COST CONVERGENCE RESULT FOR GENERAL HEDGING STRATEGIES”, Stochastic Models, 17, no. 3, 2001, 313  crossref
  4. Alan F. Ho, “Optimal trading strategy for European options with transaction costs”, Advances in Mathematics, 177, no. 1, 2003, 1  crossref
  5. Somayeh Fallah, Ali Reza Najafi, Farshid Mehrdoust, “A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1)”, Communications in Statistics - Theory and Methods, 48, no. 9, 2019, 2254  crossref
  6. Seongjoo Song, Kiseop Lee, “A note on convergence of an approximate hedging portfolio with liquidity risk”, Stochastics, 79, no. 5, 2007, 419  crossref
  7. T. Nguyen, S. Pergamenschchikov, “Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps”, Theory Probab. Appl., 65, no. 2, 2020, 224  crossref
  8. Elettra Agliardi, Rainer Andergassen, “(S,s)-adjustment Strategies and Hedging under Markovian Dynamics”, Geneva Risk Insur Rev, 36, no. 2, 2011, 112  crossref
  9. Xiao-Tian Wang, Zhe Li, Le Zhuang, “Risk preference, option pricing and portfolio hedging with proportional transaction costs”, Chaos, Solitons & Fractals, 95, 2017, 111  crossref
  10. Sebastien Darses, Emmanuel Lepinette-Denis, “Mean Square Error and Limit Theorem for the Modi fied Leland Hedging Strategy with a Constant Transaction Costs Coefficient”, SSRN Journal, 2012  crossref
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