On Vershik's standardness criterion and Tsirelson's notion of cosiness
On Wald's equation. Discrete time case
Optimality of replication in the CRR model with transaction costs
Recently, there has been a growing interest in optimization problems associated with the arbitrage pricing of derivative securities in imperfect markets (in particular, in models with transaction costs). In this paper, we examine the valuation and hedging of European claims in the multiplicative binomial model proposed by Cox, Ross and Rubinstein [5] (the CRR model), in the presence of proportional transaction costs. We focus on the optimality of replication; in particular, we provide sufficient...
Orthogonal polynomial martingales on spheres
Orthogonalité et intégrabilité uniforme de martingales discrètes