Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities (Q2757317)
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scientific article; zbMATH DE number 1676832
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities |
scientific article; zbMATH DE number 1676832 |
Statements
26 November 2001
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derivative pricing
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transaction costs
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multiple securities
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American claims
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exotic options
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utility maximization
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volatility smile
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0.9062445
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0.8855848
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0.8785184
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0.86585987
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0.8646135
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0.86460495
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0.8605693
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Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities (English)
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