Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs. (Q1605429): Difference between revisions

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-Stylianos Perrakis
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+Stylianos Perrakis
@@ Property / author: Stylianos Perrakis / rank @@
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+MaRDI publication profile
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@@ Property / cites work @@
+Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
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@@ Property / cites work @@
+DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
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@@ Property / cites work @@
+Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
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@@ Property / cites work @@
+Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
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@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
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@@ Property / cites work @@
+MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
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@@ Property / cites work @@
+Q4794152
@@ Property / cites work: Q4794152 / rank @@
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@@ Property / cites work @@
+Derivative asset pricing with transaction costs: an extension
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@@ Property / cites work @@
+There is no nontrivial hedging portfolio for option pricing with transaction costs
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0165-1889(01)00047-1
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+W3122010017
@@ Property / OpenAlex ID: W3122010017 / rank @@
+Normal rank