No Arbitrage and Valuation in Markets with Realistic Transaction Costs
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- Bettzuge, Marc Oliver & Hens, Thorsten & Laitenberger, Marta & Siwik, Thomas, 2000. "On Choquet prices in a GEI-model with intermediation costs," Research in Economics, Elsevier, vol. 54(2), pages 133-152, June.
- Gianluca Cassese, 2014. "Option Pricing in an Imperfect World," Papers 1406.0412, arXiv.org, revised Sep 2016.
- Valeri Zakamouline, 2003. "European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs," Finance 0311009, EconWPA.
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