A discrete stochastic model for investment with an application to the transaction costs case
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Publication:1975171
DOI10.1016/S0304-4068(99)00005-1zbMath0960.91038OpenAlexW2077181353MaRDI QIDQ1975171
Laurence Carassus, Elyès Jouini
Publication date: 9 April 2000
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4068(99)00005-1
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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Cites Work
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- The Pricing of Options and Corporate Liabilities
- Martingales and arbitage in securities markets with transaction costs
- Arbitrage and Growth Rate for Riskless Investments in a Stationary Economy
- Investment Selection with Imperfect Capital Markets
- Investment and Arbitrage Opportunities with Short Sales Constraints
- Optimal Investment Selection with a Multitude of Projects
- Option pricing: A simplified approach
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