Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Reference43 articles.
1. Barles, G., Soner, H.M.: Option pricing with transaction costs and a nonlinear Black–Scholes equation. Finance Stoch. 2, 369–397 (1998)
2. Bichuch, M.: Asymptotic analysis for optimal investment in finite time with transaction costs. SIAM J. Financ. Math. 3, 433–458 (2012)
3. Bichuch, M., Shreve, S.: Utility maximization trading two futures with transaction costs. SIAM J. Financ. Math. 4, 26–85 (2013)
4. Bouchard, B.: Option pricing via utility maximization in the presence of transaction costs: an asymptotic analysis. Preprint (2000). Available at www.ceremade.dauphine.fr/CMD/2000-6.ps
5. Bouchard, B., Touzi, N.: Explicit solution of the multi-variable super-replication problem under transaction costs. Ann. Appl. Probab. 10, 685–708 (2000)
Cited by
19 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献