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, № 2, 2022, 227  crossref
  2. Damien Lamberton, Huyên Pham, Martin Schweizer, “Local Risk-Minimization Under Transaction Costs”, Mathematics of OR, 23, № 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, № 9, 2020, 2722  crossref
  7. Inès Jaafar, Lubica Hikkerova, “Les Coûts de transaction : moins impactant dans la valorisation des options”, Gestion 2000, Volume 32, № 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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