Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences

DOI10.1007/s007800050066zbMath0935.91014OpenAlexW2114589695MaRDI QIDQ1966383

George M. Constantinides, Thaleia Zariphopoulou

Publication date: 1 March 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050066

zbMATH Keywords

transaction costsviscosity solutionsbounds on pricescontingent claim prices

Mathematics Subject Classification ID

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