No-arbitrage and closure results for trading cones with transaction costs
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References listed on IDEAS
- D. Vallière & E. Denis & Y. Kabanov, 2009.
"Hedging of American options under transaction costs,"
Finance and Stochastics,
Springer, vol. 13(1), pages 105-119, January.
- Yuri Kabanov & Dimitri De Vallière & Emmanuel Denis, 2009. "Hedging of American options under transaction costs," Post-Print hal-00488688, HAL.
- (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov, 2002. "No-arbitrage criteria for financial markets with efficient friction," Finance and Stochastics, Springer, vol. 6(3), pages 371-382.
- 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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- Saul Jacka & Seb Armstrong & Abdel Berkaoui, 2017. "Multi-currency reserving for coherent risk measures," Papers 1712.01319, arXiv.org, revised Dec 2017.
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