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Derivative Asset Pricing with Transaction Costs: An Extension · Study

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ArticleDerivative Asset Pricing with Transaction Costs: An Extension

Stylianos Perrakis1997

Article1997

Derivative Asset Pricing with Transaction Costs: An Extension

Stylianos Perrakis · Jean Lefoll

45 citations·0/0 files stored·Computational Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2005Theory of rational option pricing 1994Implied Binomial Trees 1993European Option Pricing with Transaction Costs 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 1992Option Replication in Discrete Time with Transaction Costs 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs 1993Optimal Replication of Options with Transactions Costs and Trading Restrictions

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2014AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS 2000Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

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2000Option pricing and replication with transaction costs and dividendsarticle · 8 shared references 1999Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferencesarticle · 6 shared references 1997Optimal delta-hedging under transactions costsarticle · 6 shared references 2003Option pricing with transaction costs using a Markov chain approximationarticle · 6 shared references 1998Local Risk-Minimization Under Transaction Costsarticle · 6 shared references 2004Asymptotic analysis for optimal investment and consumption with transaction costsarticle · 5 shared references

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Year1997

Typearticle

Published1997-11-01

VenueComputational Economics

ISSN-L0927-7099

Languageen

Citations45

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1008693830990

openalex_workW1568144451

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