Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
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- M. Dempster & I. Evstigneev & M. Taksar, 2006.
"Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model,"
Annals of Finance,
Springer, vol. 2(4), pages 327-355, October.
- M A H Dempster & I V Evstigneev & M I Taksar, 2005. "Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model," Working Papers 062005, University of Cambridge, Judge Business School, Centre for Financial Research.
- Ionuţ Florescu & Frederi Viens, 2008. "Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(2), pages 151-181.
- Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010. "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, vol. 6(2), pages 157-191, March.
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