Cash Stream Valuation In the Face of Transaction Costs and Taxes

DOI10.1111/j.1467-9965.1991.tb00003.xzbMath0900.90110OpenAlexW2124447541MaRDI QIDQ4345878

James Cuevas Dermody, R. Tyrrell Rockafellar

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00003.x

zbMATH Keywords

linear programmingno arbitragetransaction coststerm structuretaxespricing operatorcash stream valuation

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (15)

American contingent claims under small proportional transaction costs ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ A counter-example to an option pricing formula under transaction costs ⋮ Dual representation of superhedging costs in illiquid markets ⋮ Arbitrage and deflators in illiquid markets ⋮ Valuation before and after tax in the discrete time, finite state no arbitrage model ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ SUPERHEDGING IN ILLIQUID MARKETS ⋮ Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ Pricing issues with investment flows. Applications to market models with frictions ⋮ Introduction to convex optimization in financial markets ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Option pricing by mathematical programming† ⋮ Hedging, arbitrage and optimality with superlinear frictions

Cites Work

• Convex Analysis

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