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1
Bank P, Dolinsky Y. Continuous-time duality for superreplication with transient price impact. ANN APPL PROBAB 2019. [DOI: 10.1214/19-aap1498] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
2
Harms P, Stefanovits D. Affine representations of fractional processes with applications in mathematical finance. Stoch Process Their Appl 2019. [DOI: 10.1016/j.spa.2018.04.010] [Citation(s) in RCA: 12] [Impact Index Per Article: 2.4] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/26/2022]
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