Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
type: Item
instance of: scholarly article
title: Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
zbMATH Open document ID: 1131.91332
DOI: 10.1016/S0165-1889(01)00047-1
author: George M. Constantinides
author: Stylianos Perrakis
publication date: 2002-07-15T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1768266
MaRDI profile type: Publication
cites work: Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
cites work: DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
cites work: The pricing of options and corporate liabilities
cites work: Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
cites work: Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
cites work: Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities
cites work: European Option Pricing with Transaction Costs
cites work: MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
cites work: Q4794152
cites work: Derivative asset pricing with transaction costs: an extension
cites work: There is no nontrivial hedging portfolio for option pricing with transaction costs
full work available at URL: s0165-1889(01)00047-1
OpenAlex ID: W3122010017
published in: Journal of Economic Dynamics and Control
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description: scientific article; zbMATH DE number 1768266