Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
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Publication:2757317
DOI10.1111/1467-9965.00118zbMath0980.91019OpenAlexW3122042062MaRDI QIDQ2757317
Thaleia Zariphopoulou, George M. Constantinides
Publication date: 26 November 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00118
transaction costsutility maximizationvolatility smilederivative pricingexotic optionsAmerican claimsmultiple securities
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