66 citations to 10.1007/s007800050023 (Crossref Cited-By Service)
  1. Joel M. Vanden, “Exact Superreplication Strategies for a Class of Derivative Assets”, Applied Mathematical Finance, 13, № 1, 2006, 61  crossref
  2. C. Atkinson, C. A. Alexandropoulos, “Pricing a European Basket Option in the Presence of Proportional Transaction Costs”, Applied Mathematical Finance, 13, № 3, 2006, 191  crossref
  3. Christina C. Christara, Ruining Wu, “Penalty and penalty-like methods for nonlinear HJB PDEs”, Applied Mathematics and Computation, 425, 2022, 127015  crossref
  4. Christian Y. Robert, Mathieu Rosenbaum, “On the Microstructural Hedging Error”, SIAM J. Finan. Math., 1, № 1, 2010, 427  crossref
  5. Valeriy Zakamulin, “Yet Another Note on the Leland's Option Hedging Strategy with Transaction Costs”, SSRN Journal, 2005  crossref
  6. J. S. Kennedy, P. A. Forsyth, K. R. Vetzal, “Dynamic Hedging Under Jump Diffusion with Transaction Costs”, Operations Research, 57, № 3, 2009, 541  crossref
  7. ERINDI ALLAJ, “IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING”, Int. J. Theor. Appl. Finan., 20, № 04, 2017, 1750024  crossref
  8. Emmanuel Lepinette, “MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE”, Mathematical Finance, 22, № 4, 2012, 741  crossref
  9. Yonggan Zhao, William T. Ziemba, “Hedging errors with Leland's option model in the presence of transaction costs”, Finance Research Letters, 4, № 1, 2007, 49  crossref
  10. Louis R. Piccotti, “A Closed-form Pricing Solution for Options on Assets with Pricing Errors”, SSRN Journal, 2021  crossref
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