C. D. Aliprantis and K. C. Border, Infinite dimensional analysis, A hitchhiker's guide, 2006.

F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol.81, issue.3, pp.81-637, 1973.
DOI : 10.1086/260062

P. Billingsley, Convergence of probability measures, 1968.
DOI : 10.1002/9780470316962

N. Bouleau and D. Lépingle, Numerical methods for stochastic processes

D. Brigo and F. Mercurio, A Mixed-up Smile, Risk, vol.13, pp.123-126, 2000.

L. Campi and W. Schachermayer, A super-replication theorem in Kabanov???s model of transaction costs, Finance and Stochastics, vol.35, issue.4, pp.579-596, 2006.
DOI : 10.1007/s00780-006-0022-4

R. C. Dalang, A. Morton, and W. Willinger, Equivalent martingale measures and no-arbitrage in stochastic securities market models, Stochastics An International Journal of Probability and Stochastic Processes, vol.29, issue.2, pp.29-185, 1990.
DOI : 10.1080/17442509008833613

S. Darses and E. Lepinette, Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate The Musiela Festschrift

F. Delbaen and W. Schachermayer, A general version of the fundamental theorem of asset pricing, Mathematische Annalen, vol.286, issue.1, pp.463-520, 1994.
DOI : 10.1007/BF01450498

E. Denis and Y. Kabanov, Consistent price systems and arbitrage opportunities of??the??second kind in models with transaction costs, Finance and Stochastics, vol.14, issue.1, pp.135-154, 2012.
DOI : 10.1007/s00780-010-0144-6
URL : https://hal.archives-ouvertes.fr/hal-00488288

B. Dupire, Pricing and hedging with smiles Mathematics of derivative securities, pp.103-111, 1997.

A. Friedman, Stochastic Differential Equations and Applications, Dover Books on Mathematics, 1975.
DOI : 10.1007/978-3-642-11079-5_2

H. Funahashi, A Chaos Expansion Approach Under Hybrid Volatility Models, 2012.

H. Funahashi and M. Kijima, A chaos expansion approach for the pricing of contingent claims, The Journal of Computational Finance, vol.18, issue.3, 2012.
DOI : 10.21314/JCF.2015.299

J. Grépat, On the Limit Behavior of Option Hedging Sets under Transaction Costs, Recent Advances in Financial Engineering 2012
DOI : 10.1142/9789814571647_0004

J. Grépat, On a Multi-Asset Version of the Kusuoka Limit Theorem of Option Replication under Transaction Costs

J. Grépat and K. Yu, Small transaction costs, absence of arbitrage and consistent price systems, Finance and Stochastics, vol.7, issue.3, pp.357-368, 2012.
DOI : 10.1007/s00780-011-0164-x

P. Guasoni, M. Rásonyi, and W. Schachermayer, Consistent price systems and face-lifting pricing under transaction costs, The Annals of Applied Probability, vol.18, issue.2, pp.491-520, 2008.
DOI : 10.1214/07-AAP461

P. Guasoni, M. Rásonyi, and W. Schachermayer, The fundamental theorem of asset pricing for continuous processes under small transaction costs, Annals of Finance, vol.33, issue.2
DOI : 10.1007/s10436-008-0110-x

W. Hildenbrand, Core and equilibria of a large economy, N.J, 1974.

J. Hull and A. White, The Pricing of Options on Assets with Stochastic Volatilities, The Journal of Finance, vol.40, issue.2, pp.281-300, 1987.
DOI : 10.1111/j.1540-6261.1987.tb02568.x

J. Jacod and A. N. Shiryaev, Limit theorems for stochastic processes, 2003.
DOI : 10.1007/978-3-662-02514-7

Y. Kabanov, Hedging and liquidation under transaction costs in currency markets, Finance and Stochastics, vol.3, issue.2, pp.237-248, 1999.
DOI : 10.1007/s007800050061

Y. Kabanov and M. Safarian, Markets with transaction costs, 2009.
DOI : 10.1007/978-3-540-68121-2
URL : https://hal.archives-ouvertes.fr/hal-00488168

K. M. Yu and S. Ch, The Harrison?Pliska arbitrage pricing theorem under transaction costs, Journal of Mathematical Economics, vol.35, issue.2, pp.185-196, 2001.

K. M. Yu and S. Ch, On martingale selectors of cone-valued processes, Lecture Notes in Math, pp.439-442, 1934.

K. M. Yu, M. Rásonyi, and S. Ch, On the closedness of sums of convex cones in L 0 and the robust no-arbitrage property, Finance and Stochastics, vol.7, issue.3, pp.403-411, 2003.

I. Karatzas and S. E. Shreve, Brownian motion and stochastic calculus

P. E. Kloeden and E. Platen, Numerical solution of stochastic differential equations, 1992.

S. Kusuoka, Limit Theorem on Option Replication Cost with Transaction Costs, The Annals of Applied Probability, vol.5, issue.1, pp.198-221, 1995.
DOI : 10.1214/aoap/1177004836

H. E. Leland, Option Pricing and Replication with Transactions Costs, The Journal of Finance, vol.7, issue.5, pp.1283-1301, 1985.
DOI : 10.1111/j.1540-6261.1985.tb02383.x

E. Lepinette, MODIFIED LELAND???S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE, Mathematical Finance, vol.4, issue.3
DOI : 10.1111/j.1467-9965.2011.00498.x

T. Pennanen and I. Penner, Hedging of Claims with Physical Delivery under Convex Transaction Costs, SIAM Journal on Financial Mathematics, vol.1, issue.1, pp.158-178, 2010.
DOI : 10.1137/090754182