Derivative asset pricing with transaction costs: an extension
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Publication:1372903
DOI10.1023/A:1008693830990zbMATH Open0893.90044MaRDI QIDQ1372903FDOQ1372903
Authors: Stylianos Perrakis, Jean Lefoll 
Publication date: 4 November 1997
Published in: Computational Economics (Search for Journal in Brave)
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Cited In (17)
- Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities
- A comparison of techniques for dynamic multivariate risk measures
- Testing affine term structure models in case of transaction costs
- American and Bermudan options in currency markets with proportional transaction costs
- American contingent claims under small proportional transaction costs
- Options under proportional transaction costs: An algorithmic approach to pricing and hedging
- The American put under transactions costs
- Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
- UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS
- Option pricing and replication with transaction costs and dividends
- Game options with gradual exercise and cancellation under proportional transaction costs
- An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
- Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
- Optimal hedging in an extended binomial market under transaction costs
- Scalar multivariate risk measures with a single eligible asset
- THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
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