Asset pricing and hedging in financial markets with fixed and proportional transaction costs

DOI10.1007/S10436-024-00441-WMaRDI QIDQ6585796zbMATH OpenFDO

Authors Esmaeil Babaei

Publication date 12 August 2024

Published in Annals of Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10436-024-00441-W

zbMATH Keywords

asset pricingconsistent valuation systemshedgingportfolio constraintstransaction costsvon Neumann-Gale dynamical systems

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(1)

• On asset pricing in a binomial model with fixed and proportional transaction costs, portfolio constraints and dividends

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