Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
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Publication:1605429
DOI10.1016/S0165-1889(01)00047-1zbMath1131.91332OpenAlexW3122010017MaRDI QIDQ1605429
George M. Constantinides, Stylianos Perrakis
Publication date: 15 July 2002
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00047-1
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Cites Work
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- Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
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- Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
- MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- European Option Pricing with Transaction Costs
- Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
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