Citations (7)
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Gary Quek & Colin Atkinson. (2017) Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis. Applied Mathematical Finance 24:2, pages 77-111.
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J. Fabozzi, Arturo Leccadito & Radu
S. Tunaru. (2012) A new method for generating approximation algorithms for financial mathematics applications. Quantitative Finance 12:10, pages 1571-1583.
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C. Atkinson & P. Ingpochai. (2012) The Effect of Correlation and Transaction Costs on the Pricing of Basket Options. Applied Mathematical Finance 19:2, pages 131-179.
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James A. Primbs. (2009) Dynamic hedging of basket options under proportional transaction costs using receding horizon control. International Journal of Control 82:10, pages 1841-1855.
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Articles from other publishers (3)
Steven Li & Mimi Hafizah Abdullah. (2012) Implied transaction costs by Leland option pricing model: A new approach and empirical evidence. Journal of Derivatives & Hedge Funds 18:4, pages 333-360.
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Xing Yu. (2012) Basket option pricing with the algorithms of piecewise lognormal interpolation. Basket option pricing with the algorithms of piecewise lognormal interpolation.
Ludwig B. Chincarini. (2007) Flexible Insurance for Separate Accounts. SSRN Electronic Journal.
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