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Now showing items 1-10 of 32
On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs
(2005) Article accepté pour publication ou publié
Utility Maximization on the Real Line under Proportional Transaction Costs
(2002) Article accepté pour publication ou publié
On the existence of shadow prices
(2013) Article accepté pour publication ou publié
Multivariate utility maximization with proportional transaction costs and random endowment
(2012) Article accepté pour publication ou publié
A discrete stochastic model for investment with an application to the transaction costs case
(2000-02) Article accepté pour publication ou publié
Arbitrage and control problems in finance: A presentation
(2001-04) Article accepté pour publication ou publié
Incomplete markets, transaction costs and liquidity effects
(1997-12) Article accepté pour publication ou publié
Option Pricing via Utility Maximization in the presence of Transaction Costs: an Asymptotic Analysis
(2000) Document de travail / Working paper
Robust No Arbitrage Condition for Continuous-Time Models with Transaction Costs
(2011) Communication / Conférence
Essential supremum and essential maximum with respect to random preference relations
(2013) Article accepté pour publication ou publié