66 citations to 10.1007/s007800050023 (Crossref Cited-By Service)
  1. Jiling Cao, Biyuan Wang, Wenjun Zhang, “Valuation of European options with stochastic interest rates and transaction costs”, International Journal of Computer Mathematics, 99, no. 2, 2022, 227  crossref
  2. Damien Lamberton, Huyên Pham, Martin Schweizer, “Local Risk-Minimization Under Transaction Costs”, Mathematics of OR, 23, no. 3, 1998, 585  crossref
  3. Sébastien Darses, Emmanuel Lépinette, Inspired by Finance, 2014, 159  crossref
  4. Emmanuel Gobet, Azmi Makhlouf, “The Tracking Error Rate of the Delta-Gamma Hedging Strategy”, SSRN Journal, 2009  crossref
  5. Farshid Mehrdoust, Ali Reza Najafi, “A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds”, Journal of Computational and Applied Mathematics, 375, 2020, 112796  crossref
  6. Yingxu Tian, Haoyan Zhang, “European option pricing under stochastic volatility jump-diffusion models with transaction cost”, Computers & Mathematics with Applications, 79, no. 9, 2020, 2722  crossref
  7. Inès Jaafar, Lubica Hikkerova, “Les Coûts de transaction : moins impactant dans la valorisation des options”, Gestion 2000, Volume 32, no. 3, 2015, 111  crossref
  8. Yuan Hu, W. Brent Lindquist, Svetlozar T. Rachev, Abootaleb Shirvani, Frank J. Fabozzi, “Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis”, Journal of Economic Dynamics and Control, 137, 2022, 104345  crossref
  9. Vladimir E. Fedorov, Mikhail M. Dyshaev, “Group classification for a class of non-linear models of the RAPM type”, Communications in Nonlinear Science and Numerical Simulation, 92, 2021, 105471  crossref
  10. Alexander Melnikov, Shuo Tong, “Quantile hedging on equity-linked life insurance contracts with transaction costs”, Insurance: Mathematics and Economics, 58, 2014, 77  crossref
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