Option pricing with transaction costs using a Markov chain approximation
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- Lamberton, Damien & Pham, Huyên & Schweizer, Martin, 1998. "Local risk-minimization under transaction costs," SFB 373 Discussion Papers 1998,18, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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- Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
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- Dumas, Bernard & Luciano, Elisa, 1991. " An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs," Journal of Finance, American Finance Association, vol. 46(2), pages 577-95, June.
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