Local Risk-Minimization Under Transaction Costs
Published Online:1 Aug 1998https://doi.org/10.1287/moor.23.3.585
References
- Option replication with transaction costs: General diffusion limits. Ann. Appl. Probab. (1998) 8 Google Scholar
- Derivative asset pricing with transaction costs. Math. Finance (1992) 2 63 86 Crossref, Google Scholar
- Option replication in discrete time with transaction costs. J. Finance (1992) 47 271 293 Crossref, Google Scholar
- Universal bounds on option prices with proportional transaction costs (1996) (University of Chicago) . Preprint Google Scholar
- Hedging and portfolio optimization under transaction costs: A martingale approach. Math. Finance (1996) 6 133 165 Crossref, Google Scholar
- European option pricing with transaction costs. SIAM J. Control Optim. (1993) 31 470 493 Crossref, Google Scholar
- Weighted norm inequalities and hedging in incomplete markets. Finance and Stochastics (1997) 1 181 227 Crossref, Google Scholar
- Optimal replication of options with transactions costs and trading restrictions. J. Financial and Quant. Anal. (1993) 28 117 138 Crossref, Google Scholar
- Transactions costs and duplication strategies (1993) (Graduate School of Business, Stanford University) . Preprint Google Scholar
- Optimal replication of contingent claims under transactions costs. The Rev. Futures Markets (1989) 8 222 239 Google Scholar
- Martingales and arbitrage in securities markets with transaction costs. J. Econom. Theory (1995) 66 178 197 Crossref, Google Scholar
- On Leland's strategy of option pricing with transactions costs. Finance and Stochastics (1997) 1 239 250 Crossref, Google Scholar
- Option pricing under transaction costs: A Martingale approach (1996) (CREST, Paris) . Preprint Google Scholar
- Limit theorem on option replication cost with transaction costs. Ann. Appl. Probab. (1995) 5 198 221 Crossref, Google Scholar
- Option pricing and replication with transactions costs. J. Finance (1985) 40 1283 1301 Crossref, Google Scholar
- Ein Verfahren zur Replikation von Optionen unter Transaktionskosten in stetiger Zeit (1993) . Ph.D. thesis, Universität der Bundeswehr München Google Scholar
- , Dempster M. A. H. , Pliska S. R. Option pricing and hedging in discrete time with transaction costs and incomplete markets. Mathematics of Derivative Securities (1997) (Cambridge University Press) 190 215 Google Scholar
- On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance. The Geneva Papers on Risk and Insurance (1989) 14 225 261 Crossref, Google Scholar
- Arbitrage and martingales in securities markets with transaction costs: A linear programming approach (1996) . Working paper 7/1996, University of Trieste Google Scholar
- Incomplete markets: Convergence of options values under the minimal martingale measure. (1995) (University of Cergy-Pontoise) . Preprint Google Scholar
- , Bolthausen E. , Dozzi M. , Russo F. Convergence of option values under incompleteness. Seminar on Stochastic Analysis, Random Fields and Applications (1995) (Birkhäuser) 365 384 Crossref, Google Scholar
- On quadratic cost criteria for option hedging. Math. Oper. Res. (1994) 19 121 131 Link, Google Scholar
- Hedging of options in a general semimartingale model. Diss. ETH Zürich (1988) . 8615 Google Scholar
- Variance-optimal hedging in discrete time. Math. Oper. Res. (1995) 20 1 32 Link, Google Scholar
- Bid-ask prices for call options with transaction costs (1991) (University of Michigan) . Preprint Google Scholar
- Pricing of options under the proportional transaction costs (1995) . Preprint, 95-12, Tokyo Institute of Technology Google Scholar
- There is no nontrivial hedging portfolio for option pricing with transaction costs. Ann. Appl. Probab. (1995) 5 327 355 Crossref, Google Scholar

