95 citations · 324 across the 10 of their papers we have counts for
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q-fin.PR2013★ 5 cited
On a Heath-Jarrow-Morton approach for stock options
Jan Kallsen, Paul Krühner
This paper aims at transferring the philosophy behind Heath-Jarrow-Morton to the modelling of call options with all strikes and maturities. Contrary to the approach by Carmona and…
q-fin.PR2012
Option Pricing and Hedging with Small Transaction Costs
Jan Kallsen, Johannes Muhle-Karbe
An investor with constant absolute risk aversion trades a risky asset with general Itô-dynamics, in the presence of small proportional transaction costs. In this setting, we formal…