Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs

DOI10.1007/978-3-319-47766-4_21zbMATH Open1376.91155OpenAlexW2592182165MaRDI QIDQ4595367FDOQ4595367

Jörn Sass, Manfred Schäl

Publication date: 30 November 2017

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-47766-4_21

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• scientific article; zbMATH DE number 2230700

zbMATH Keywords

dynamic programmingproportional transaction costsutility functionconsistent price systemnumeraire portfolio

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39) Portfolio theory (91G10)

Cited In (5)

• Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities
• Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
• On the density of properly maximal claims in financial markets with transaction costs
• Supporting Prices in a Stochastic von Neumann--Gale Model of a Financial Market
• Optimal Execution of Derivatives: A Taylor Expansion Approach

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