Martin Brown, Tomasz Zastawniak, “Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs”, Ann Finance, 16, № 3, 2020, 423
M. A. H. Dempster, I. V. Evstigneev, M. I. Taksar, “Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model”, Annals of Finance, 2, № 4, 2006, 327
Giorgio Ferrari, Hanwu Li, Frank Riedel, “Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations”, Adv. Appl. Probab., 54, № 4, 2022, 1222
FREDDY DELBAEN, YURI M. KABANOV, ESKO VALKEILA, “Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model”, Mathematical Finance, 12, № 1, 2002, 45
Yiqing Lin, Junjian Yang, “Utility maximization problem with random endowment and transaction costs: when wealth may become negative”, Stochastic Analysis and Applications, 35, № 2, 2017, 257
Maoning Tang, Meng Qingxin, Wang Bo, “On the pricing of American contingent claims under transaction costs and multiple risky assets”, Chaos, Solitons & Fractals, 31, № 2, 2007, 269
Jocelyne Bion-Nadal, “Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk”, Journal of Mathematical Economics, 45, № 11, 2009, 738
Koichi Matsumoto, “Portfolio Insurance with Liquidity Risk”, Asia-Pac Finan Markets, 14, № 4, 2007, 363
Alet Roux, Tomasz Zastawniak, “American and Bermudan Options in Currency Markets with Proportional Transaction Costs”, Acta Appl Math, 141, № 1, 2016, 187
Paolo Guasoni, Miklós Rásonyi, Walter Schachermayer, “The fundamental theorem of asset pricing for continuous processes under small transaction costs”, Ann Finance, 6, № 2, 2010, 157