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2. Hedging with physical or cash settlement under transient multiplicative price impact. (2023). Bilarev, Todor ; Becherer, Dirk.
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3. Is there a Golden Parachute in Sannikovs principal-agent problem?. (2022). Touzi, Nizar ; Possamai, Dylan.
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4. Facelifting in utility maximization. (2016). Larsen, Kasper ; Soner, Halil ; Itkovi, Gordan.
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1. Robust Statistic Estimation of Constrained Optimal Control Problems of Pollution Accumulation (Part I). (2023). Lopez-Barrientos, Jose Daniel ; Alaffita-Hernandez, Francisco Alejandro ; Higuera-Chan, Carmen Geraldi ; Escobedo-Trujillo, Beatris Adriana.
   In: Mathematics.
   RePEc:gam:jmathe:v:11:y:2023:i:4:p:923-:d:1065492.

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2. A fully quantization-based scheme for FBSDEs. (2023). Grasselli, Martino ; Callegaro, Giorgia ; Gnoatto, Alessandro.
   In: Applied Mathematics and Computation.
   RePEc:eee:apmaco:v:441:y:2023:i:c:s0096300322007251.

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3. Option pricing using a skew random walk pricing tree. (2023). Hu, Yuan ; Rachev, Svetlozar T ; Fabozzi, Frank J ; Lindquist, Brent W.
   In: Papers.
   RePEc:arx:papers:2303.17014.

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4. Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis. (2022). Hu, Yuan ; Rachev, Svetlozar T ; Fabozzi, Frank J ; Lindquist, Brent W ; Shirvani, Abootaleb.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000501.

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5. Is there a Golden Parachute in Sannikovs principal-agent problem?. (2022). Touzi, Nizar ; Possamai, Dylan.
   In: Papers.
   RePEc:arx:papers:2007.05529.

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6. A Fully Quantization-based Scheme for FBSDEs. (2021). Gnoatto, Alessandro ; Grasselli, Martino ; Callegaro, Giorgia.
   In: Working Papers.
   RePEc:ver:wpaper:07/2021.

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7. A Constrained Markovian Diffusion Model for Controlling the Pollution Accumulation. (2021). Lopez-Barrientos, Jose Daniel ; Garrido-Melendez, Javier ; Escobedo-Trujillo, Beatris Adriana.
   In: Mathematics.
   RePEc:gam:jmathe:v:9:y:2021:i:13:p:1466-:d:580023.

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8. Mispricing, short-sale constraints, and the cross-section of option returns. (2021). Ramachandran, Lakshmi Shankar ; Tayal, Jitendra.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:141:y:2021:i:1:p:297-321.

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9. Discretization and machine learning approximation of BSDEs with a constraint on the Gains-process. (2021). Xavier, Warin ; Thomas, Lim ; Idris, Kharroubi.
   In: Monte Carlo Methods and Applications.
   RePEc:bpj:mcmeap:v:27:y:2021:i:1:p:27-55:n:1.

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10. Risk measures beyond frictionless markets. (2021). Arduca, Maria ; Munari, Cosimo.
    In: Papers.
    RePEc:arx:papers:2111.08294.

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11. Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis. (2021). Hu, Yuan ; Rachev, Svetlozar T ; Fabozzi, Frank J ; Lindquist, Brent W ; Shirvani, Abootaleb.
    In: Papers.
    RePEc:arx:papers:2106.09128.

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12. A Fully Quantization-based Scheme for FBSDEs. (2021). Gnoatto, Alessandro ; Grasselli, Martino ; Callegaro, Giorgia.
    In: Papers.
    RePEc:arx:papers:2105.09276.

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13. Deep combinatorial optimisation for optimal stopping time problems : application to swing options pricing. (2021). Deschatre, Thomas ; Mikael, Joseph.
    In: Papers.
    RePEc:arx:papers:2001.11247.

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14. On the construction of optimal payoffs. (2020). Vanduffel, Steven ; Ruschendorf, L.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00272-9.

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15. Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions. (2019). Fujii, Masaaki ; Takahashi, Akihiko.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:129:y:2019:i:5:p:1492-1532.

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16. Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems. (2019). Chassagneux, Jean-Franois ; Richou, Adrien.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:129:y:2019:i:11:p:4597-4637.

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17. Option prices and costly short-selling. (2019). Basak, Suleyman ; Atmaz, Adem.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:134:y:2019:i:1:p:1-28.

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18. Finite Difference Methods for the BSDEs in Finance. (2018). Guo, Guangbao.
    In: IJFS.
    RePEc:gam:jijfss:v:6:y:2018:i:1:p:26-:d:134745.

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19. Option Prices and Costly Short-Selling. (2018). Basak, Suleyman ; Atmaz, Adem.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13029.

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20. Solving Backward Stochastic Differential Equations with quadratic-growth drivers by Connecting the Short-term Expansions. (2018). Fujii, Masaaki ; Takahashi, Akihiko.
    In: Papers.
    RePEc:arx:papers:1606.04285.

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21. A Convolution Method for Numerical Solution of Backward Stochastic Differential Equations. (2017). Ngou, Polynice Oyono ; Hyndman, Cody B.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:19:y:2017:i:1:d:10.1007_s11009-015-9449-4.

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22. Partial hedging and cash requirements in discrete time. (2016). Akyildirim, Erdn ; Altarovici, Albert.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:6:p:929-945.

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23. Facelifting in utility maximization. (2016). Larsen, Kasper ; Soner, Halil ; Itkovi, Gordan.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:20:y:2016:i:1:p:99-121.

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24. Superreplication when trading at market indifference prices. (2016). Gokay, Selim ; Bank, Peter.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:20:y:2016:i:1:p:153-182.

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25. When terminal facelift enforces delta constraints. (2015). Elie, Romuald ; Chassagneux, Jean-Franois ; Kharroubi, Idris.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:19:y:2015:i:2:p:329-362.

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26. Superhedging under ratio constraint. (2015). Xu, Jing ; Dai, Min ; Chen, Yingshan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:58:y:2015:i:c:p:250-264.

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27. Facelifting in Utility Maximization. (2014). Soner, Mete H. ; Larsen, Kasper ; Zitkovic, Gordan.
    In: Papers.
    RePEc:arx:papers:1404.2227.

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28. Constant-collateral pyramiding trading strategies in futures markets. (2013). Miles, Stanley.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:27:y:2013:i:4:p:381-396.

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29. Superreplication when trading at market indifference prices. (2013). Gokay, Selim ; Bank, Peter.
    In: Papers.
    RePEc:arx:papers:1310.3113.

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30. When terminal facelift enforces Delta constraints. (2013). Elie, Romuald ; Chassagneux, Jean-Franccois ; Kharroubi, Idris.
    In: Papers.
    RePEc:arx:papers:1307.6020.

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31. Swing Options Valuation:a BSDE with Constrained Jumps Approach. (2011). TANKOV, PETER ; Warin, Xavier ; Bernhart, Marie ; Pham, Huyen.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00553356.

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32. Swing Options Valuation: a BSDE with Constrained Jumps Approach. (2011). TANKOV, PETER ; Warin, Xavier ; Bernhart, Marie ; Pham, Huyen.
    In: Papers.
    RePEc:arx:papers:1101.0975.

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33. Option hedging for small investors under liquidity costs. (2010). Etin, Umut ; Touzi, Nizar ; Soner, H..
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:14:y:2010:i:3:p:317-341.

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34. Option hedging for small investors under liquidity costs. (2010). Cetin, Umut ; Touzi, Nizar ; Soner, Mete H..
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    RePEc:ehl:lserod:28992.

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35. Pricing the Option to Surrender in Incomplete Markets. (2010). Consiglio, Andrea ; de Giovanni, Domenico.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:77:y:2010:i:4:p:935-957.

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36. The implied volatility bias and option smile: is there a simple explanation?. (2009). Barr, Kanlaya Jintanakul.
    In: ISU General Staff Papers.
    RePEc:isu:genstf:200901010800002026.

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37. Performance Management in Insurance Firms by Using Transfer Pricing. (2009). Doff, Rene ; Emmen, Pieter ; Bilderbeek, Jan ; Bruggink, Bert.
    In: Risk Management and Insurance Review.
    RePEc:bla:rmgtin:v:12:y:2009:i:2:p:213-226.

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38. Pricing of Double Barrier Options by Spectral Theory. (2008). Dell'Era, Mario ; Dell'Era Mario, M. D., .
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    RePEc:pra:mprapa:17502.

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39. Pricing of the European Options by Spectral Theory. (2008). Dell'Era Mario, M. D., .
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40. Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control. (2008). Zhao, Yonggan ; Ziemba, William T..
    In: European Journal of Operational Research.
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41. Barrier option hedging under constraints: A viscosity approach. (2006). Bouchard, Bruno ; Bentahar, Imen.
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42. Exact Superreplication Strategies for a Class of Derivative Assets. (2006). Vanden, Joel .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:13:y:2006:i:1:p:61-87.

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43. Barrier Option Hedging under Constraints: A Viscosity Approach. (2006). Bentahar, Imen ; Bouchard, Bruno.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2006-022.

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44. ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications. (2004). Detemple, Jerome ; Broadie, Mark.
    In: Management Science.
    RePEc:inm:ormnsc:v:50:y:2004:i:9:p:1145-1177.

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45. Non-marketed options, non-existence of equilibria, and non-linear prices. (2004). Tourky, Rabee ; Monteiro, Paulo ; Aliprantis, Charalambos D..
    In: Journal of Economic Theory.
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46. On superhedging under delta constraints. (2002). Sekine, Jun.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:9:y:2002:i:2:p:103-121.

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47. MARKETS THAT DONT REPLICATE ANY OPTION. (2002). Tourky, Rabee ; Aliprantis, Charalambos D..
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:832.

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48. The cheapest hedge. (2002). Tourky, Rabee ; Polyrakis, Yiannis A. ; Aliprantis, Charalambos D..
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    RePEc:eee:mateco:v:37:y:2002:i:4:p:269-295.

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49. Markets that dont replicate any option. (2002). Tourky, Rabee ; Aliprantis, Charalambos D..
    In: Economics Letters.
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50. On infinite-horizon minimum-cost hedging under cone constraints. (2002). Huang, Kevin ; Huang, Kevin X. D., .
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    RePEc:eee:dyncon:v:27:y:2002:i:2:p:283-301.

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51. Generic regularity of competitive equilibria with restricted participation. (2001). villanacci, antonio ; Siconolfi, Paolo.
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52. Minimum-cost portfolio insurance. (2000). Werner, Jan ; Brown, Donald ; Aliprantis, C. D..
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53. Continuous‐Time Methods in Finance: A Review and an Assessment. (2000). Sundaresan, Suresh M..
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