66 citations to 10.1007/s007800050023 (Crossref Cited-By Service)
  1. Peter Grandits, “Frequent Hedging under Transaction Costs and a Nonlinear Fokker–Planck PDE”, SIAM J. Appl. Math., 62, № 2, 2001, 541  crossref
  2. Romuald Elie, Emmanuel Lepinette-Denis, “Approximate Hedging for Non Linear Transaction Costs on the Volume of Traded Assets”, SSRN Journal, 2013  crossref
  3. James A. Primbs, “Dynamic hedging of basket options under proportional transaction costs using receding horizon control”, International Journal of Control, 82, № 10, 2009, 1841  crossref
  4. Quantitative Finance, 2019, 445  crossref
  5. S. Pergamenshchikov, “Limit theorem for Leland's strategy”, Ann. Appl. Probab., 13, № 3, 2003  crossref
  6. Leonard C. MacLean, Yonggan Zhao, William T. Ziemba, “An endogenous volatility approach to pricing and hedging call options with transaction costs”, Quantitative Finance, 13, № 5, 2013, 699  crossref
  7. Emmanuel Gobet, Azmi Makhlouf, “THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY”, Mathematical Finance, 22, № 2, 2012, 277  crossref
  8. Peter Bank, Yan Dolinsky, “Super-replication with fixed transaction costs”, Ann. Appl. Probab., 29, № 2, 2019  crossref
  9. Lan Wu, Shuo Wu, “How Fast Does It Diverge? Discrete Hedging Error with Transaction Costs”, Acta Math. Appl. Sin. Engl. Ser., 37, № 3, 2021, 548  crossref
  10. Maria C. Mariani, Indranil SenGupta, Granville Sewell, “Numerical methods applied to option pricing models with transaction costs and stochastic volatility”, Quantitative Finance, 15, № 8, 2015, 1417  crossref
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