Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 11 (2001)
Issue (Month): 3 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627
Other versions of this item:
- George M. Constantinides & Thaleia Zariphopoulou, . "Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities."," CRSP working papers 495, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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- John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics.
- Tokarz, Krzysztof & Zastawniak, Tomasz, 2006. "American contingent claims under small proportional transaction costs," Journal of Mathematical Economics, Elsevier, vol. 43(1), pages 65-85, December.
- Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
- Constantinides, George M. & Perrakis, Stylianos, 2002.
"Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 26(7-8), pages 1323-1352, July.
- George M. Constantinides & Stylianos Perrakis, 2002. "Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs," NBER Working Papers 8867, National Bureau of Economic Research, Inc.
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