Author:
Bertsimas Dimitris,Kogan Leonid,Lo Andrew W.
Subject
Strategy and Management,Economics and Econometrics,Finance,Accounting
Reference45 articles.
1. Dynamic hedging portfolios for derivative securities in the presence of large transactions costs;Avellaneda;Applied Mathematical Finance,1994
2. Bachelier, L., 1900. Theory of speculation. In: Cootner, P. (Ed.), 1964. The Random Character of Stock Market Prices. MIT Press, Cambridge, MA.
3. Derivative asset pricing with transaction costs;Bensaid;Mathematical Finance,1992
4. Bertsimas, D., Kogan, L., Lo, A., 1997. Pricing and hedging derivative securities in incomplete markets: an ε-arbitrage approach. Working paper No. LFE–1027–97, MIT Laboratory for Financial Engineering.
5. Billingsley, P., 1986. Probability and Measure, 2nd Edition. Wiley, New York.
Cited by
99 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