Youri Kabanov

Universite de Franche-Comte

16 Route de Gray

Besancon Cedex, F-25030

France

Russian Academy of Sciences (RAS) - Central Economics and Mathematics Institute

47, Nakhimovsky prospect

Moscow, 117418

Russia

  • Universite de Franche-Comte

SCHOLARLY PAPERS

11

DOWNLOADS

379

TOTAL CITATIONS

1

Scholarly Papers (11)

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1.

Hedging of American Options Under Transaction Costs

Finance & Stochastics, Forthcoming
Number of pages: 15 Posted: 13 Apr 2012
Youri Kabanov, Emmanuel Lepinette and Dimitri DeValière
Universite de Franche-Comte, Université Paris-Dauphine - CEREMADE, CNRS and affiliation not provided to SSRN
Downloads 88 (624,766)

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transaction costs, American option, hedging, coherent price system

2.

Mean Square Error for the Leland-Lott Hedging Strategy: Convex Pay-Off

Finance Stochastics, Vol. 14, No. 4, 2010
Number of pages: 42 Posted: 13 Apr 2012
Emmanuel Lepinette and Youri Kabanov
Université Paris-Dauphine - CEREMADE, CNRS and Universite de Franche-Comte
Downloads 72 (701,803)

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Black-Scholes formula, European option, transaction costs, Leland strategy, Lott strategy, approximate hedging, Martingale limit theorem, diffusion approximation

3.

Essential Supremum and Essential Maximum with Respect to Random Preference Relations

Number of pages: 17 Posted: 31 Mar 2013
Youri Kabanov and Emmanuel Lepinette
Universite de Franche-Comte and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 67 (729,837)
Citation 1

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Preference Relation, Partial Order, Random cones, Transaction costs, American option, Hedging

4.

Essential Supremum with Respect to a Random Partial Order

Number of pages: 19 Posted: 01 Apr 2013
Youri Kabanov and Emmanuel Lepinette
Universite de Franche-Comte and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 56 (800,026)

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5.

Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs

Finance Stochastics, Vol. 16, No. 1, 2012
Number of pages: 18 Posted: 13 Apr 2012
Emmanuel Lepinette and Youri Kabanov
Université Paris-Dauphine - CEREMADE, CNRS and Universite de Franche-Comte
Downloads 52 (829,372)

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transaction costs, arbitrage, no free lunch, consistent price systems, set-valued processes, Martingales

6.

On Supremal and Maximal Sets with Respect to Random Partial Orders

Number of pages: 14 Posted: 15 Nov 2013
Youri Kabanov and Emmanuel Lepinette
Universite de Franche-Comte and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 44 (894,776)

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7.

Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs

Posted: 03 Oct 2013
Youri Kabanov, Emmanuel Lepinette, Tuan Tran and Tuan Tran
Universite de Franche-Comte, Université Paris-Dauphine - CEREMADE, CNRS and Université Paris DauphineMcMaster University

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Consumption-investment Problem, Transaction costs, Consistent price systems, Dynamic equation, HJB equation

8.

Hedging and Liquidation Under Transaction Costs in Currency Markets

Posted: 25 Feb 1999
Youri Kabanov
Universite de Franche-Comte

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9.

Optional Decomposition and Lagrange Multipliers

Finance and Stochastics, Vol 2 No 1, 1998
Posted: 21 Apr 1998
Hans Föllmer and Youri Kabanov
Humboldt University of Berlin and Universite de Franche-Comte

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10.

On Leland's Strategy of Option Pricing with Transactions Costs

FINANCE AND STOCHASTICS, Vol. I No. 2, 1997
Posted: 24 Apr 1997
Youri Kabanov and Mher M. Safarian
Universite de Franche-Comte and Humboldt University of Berlin

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11.

Bond Markets Where Prices are Driven by a General Marked Point Process

WPS88-12/95
Posted: 27 Nov 1996
Tomas Bjork, Youri Kabanov and Comte W. Runggaldier
Stockholm School of Economics - Swedish House of Finance, Universite de Franche-Comte and Universita de Padova

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