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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 90, 2018 - Issue 8
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Articles

Game options with gradual exercise and cancellation under proportional transaction costs

Alet RouxDepartment of Mathematics, University of York, York, UKCorrespondence[email protected]
ORCID Iconhttp://orcid.org/0000-0001-9176-4468
ORCID Icon &
Tomasz ZastawniakDepartment of Mathematics, University of York, York, UK
Pages 1190-1220 | Received 15 Aug 2017, Accepted 06 Jul 2018, Published online: 24 Jul 2018

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Esmaeil Babaei, Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé & Mikhail Zhitlukhin. (2021) Von Neumann–Gale model, market frictions and capital growth. Stochastics 93:2, pages 279-310.
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Claudio Bellani & Damiano Brigo. (2021) Mechanics of good trade execution in the framework of linear temporary market impact. Quantitative Finance 21:1, pages 143-163.
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