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Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem

Naïma El Farouq , Pierre Bernhard
Applied Mathematics and Optimization, 2015, 72 (2), pp.187-202. ⟨10.1007/s00245-014-9276-y⟩
Journal articles hal-01090616v1
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LARGE DEVIATIONS OF THE REALIZED (CO-)VOLATILITY VECTOR

Hacène Djellout , Arnaud Guillin , Yacouba Samoura
Stochastic Processes and their Applications, 2017
Journal articles hal-01082903v1
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A study of Chinese market efficiency, Shanghai versus Shenzhen: Evidence based on multifractional models

Pierre R. Bertrand , Marie-Eliette Dury , Bing Xiao
Mathematical Methods in Economics and Finance, 2020, 13-14 (1), pp.19-36
Journal articles hal-03031766v1
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LARGE DEVIATIONS OF THE THRESHOLD ESTIMATOR OF INTEGRATED (CO-)VOLATILITY VECTOR IN THE PRESENCE OF JUMPS

Hacène Djellout , Hui Jiang
Journal of Theoretical Probability, 2018, Journal of Theoretical Probability, 31 (3), pp.1606-1624
Journal articles hal-01147189v1