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, № 2, 2018, 685  crossref
  2. Thai Huu Nguyen, Serguei Pergamenshchikov, “APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS”, Mathematical Finance, 27, № 3, 2017, 832  crossref
  3. Laurent Gauthier, “A TRANSACTION COST CONVERGENCE RESULT FOR GENERAL HEDGING STRATEGIES”, Stochastic Models, 17, № 3, 2001, 313  crossref
  4. Alan F. Ho, “Optimal trading strategy for European options with transaction costs”, Advances in Mathematics, 177, № 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, № 9, 2019, 2254  crossref
  6. Seongjoo Song, Kiseop Lee, “A note on convergence of an approximate hedging portfolio with liquidity risk”, Stochastics, 79, № 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, № 2, 2020, 224  crossref
  8. Elettra Agliardi, Rainer Andergassen, “(S,s)-adjustment Strategies and Hedging under Markovian Dynamics”, Geneva Risk Insur Rev, 36, № 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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