American and Bermudan Options in Currency Markets with Proportional Transaction Costs

DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹

Bernard Bensaïd, Jean‐Philippe Lesne, Henri Pagès et al. · Mathematical Finance · 1992 · 424 citations

Economics, Portfolio Optimization, Financial Economics +15

Option Replication in Discrete Time with Transaction Costs

Phelim P. Boyle, Ton Vorst · The Journal of Finance · 1992 · 400 citations

Engineering, Market Design, Financial Mathematics +16

The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

Walter Schachermayer · Mathematical Finance · 2003 · 285 citations

Economics, Option Pricing, Financial Economics +14

Hedging and liquidation under transaction costs in currency markets

Yuri Kabanov · Finance and Stochastics · 1999 · 262 citations

Hedging, Economics, Currency Hedging +5

Optimal Replication of Options with Transactions Costs and Trading Restrictions

Chanaka Edirsinghe, Vasanttilak Naik, Raman Uppal · Journal of Financial and Quantitative Analysis · 1993 · 213 citations