OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2013/06/06
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Journal
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Indian UGC (journal)
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Refrences29
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Citations43
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Jan Kallsen Christian‐Albrechts‐Universität zu Kiel
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Johannes Muhle‐Karbe ETH Zürich and Swiss Finance Institute
Abstract
Cite
Kallsen, Jan, and Johannes Muhle‐Karbe. “OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS”. Mathematical Finance, vol. 25, no. 4, 2013, pp. 702-23, https://doi.org/10.1111/mafi.12035.
Kallsen, J., & Muhle‐Karbe, J. (2013). OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS. Mathematical Finance, 25(4), 702-723. https://doi.org/10.1111/mafi.12035
Kallsen, Jan, and Johannes Muhle‐Karbe. “OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS”. Mathematical Finance 25, no. 4 (2013): 702-23. https://doi.org/10.1111/mafi.12035.
Kallsen J, Muhle‐Karbe J. OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS. Mathematical Finance. 2013;25(4):702-23.
Journal Categories
Science
Mathematics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
Social Sciences
Statistics
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| Bounded Solutions to Backward SDE's with Jumps for Utility Optimization and Indifference Hedging | The Annals of Applied Probability |
| 2005 | |
| Optimal Replication of Contingent Claims Under Transaction Costs | 1989 | |||
| Homogenization and Asymptotics for Small Transaction Costs | SSRN Electronic Journal | 3 | 2012 | |
| Arbitrage Theory in Continuous Time | 2003 |
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Non-Concave Utility Maximization with Transaction Costs | SSRN Electronic Journal | 2023 | ||
Rebalancing with transaction costs: theory, simulations, and actual data | Financial Markets and Portfolio Management |
| 3 | 2022 |
On optimal uniform approximation of Lévy processes on Banach spaces with finite variation processes | ESAIM: Probability and Statistics |
| 2022 | |
OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS | International Journal of Theoretical and Applied Finance |
| 2022 | |
| Option replication with transaction cost under Knightian uncertainty | Physica A: Statistical Mechanics and its Applications |
| 1 | 2021 |
Citations Analysis
The category
Science: Mathematics 18
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Optimal Liquidity Provision in Limit Order Markets and was published in 2013. The most recent citation comes from a 2023 study titled Non-Concave Utility Maximization with Transaction Costs. This article reached its peak citation in 2017, with 11 citations. It has been cited in 17 different journals, 5% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 17 citations. The chart below illustrates the annual citation trends for this article.