Transaction costs

From WilmottWiki

References

• Atkinson, C, Pliska, S & Wilmott, P 1996 Portfolio management with transaction costs. Proc. Roy. Soc. A
• Atkinson, C & Wilmott, P 1995 Portfolio management with transaction costs: an asymptotic analysis. Math. Fin. 5 357—367
• Boyle, P & Vorst, T 1992 Option replication in discrete time with transaction costs. Journal of Finance 47 271
• Dewynne, JN, Whalley, AE & Wilmott, P 1994 Path-dependent options and transaction costs. Phil. Trans. Roy. Soc. A. 347 517—529
• Hoggard, T, Whalley, AE & Wilmott, P 1994 Hedging option portfolios in the presence of transaction costs. Adv. Fut. Opt. Res. 7 21—35
• Leland, HE 1985 Option pricing and replication with transaction costs. Journal of Finance 40 1283-1301
• Whalley, AE & Wilmott, P 1993 Counting the costs. Risk 6 (10) 59—66
• Whalley, AE & Wilmott, P A comparison of hedging strategies. Proc. 7th Euro. Conf. Math. Ind. 427—434
• Whalley, AE & Wilmott, P 1994 Hedge with an edge. Risk Oct.
• Whalley, AE & Wilmott, P 1995 An asymptotic analysis of a global-time model for option pricing with transaction costs. Proc. 8th Euro. Conf. Math. Ind.
• Whalley, AE & Wilmott, P 1996 Key results in discrete hedging and transaction costs. In Frontiers in Derivatives (Ed. Konishi and Dattatreya.) 183—196
• Whalley, AE & Wilmott, P 1996 An asymptotic analysis of the Davis, Panas and Zariphopoulou model for option pricing with transaction costs. Math. Fin. 7 307—324
• Whalley, AE & Wilmott, P Optimal hedging of options with small but arbitrary transaction cost structure. Euro. J. Appl. Math.