Derivative asset pricing with transaction costs: an extension
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Publication:1372903
DOI10.1023/A:1008693830990zbMath0893.90044MaRDI QIDQ1372903
Stylianos Perrakis, Jean Lefoll
Publication date: 4 November 1997
Published in: Computational Economics (Search for Journal in Brave)
Related Items (13)
American and Bermudan options in currency markets with proportional transaction costs ⋮ American contingent claims under small proportional transaction costs ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ The American put under transactions costs ⋮ A Comparison of Techniques for Dynamic Multivariate Risk Measures ⋮ AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS ⋮ Optimal hedging in an extended binomial market under transaction costs ⋮ Option pricing and replication with transaction costs and dividends ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
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