1. Figlewski, Stephen, 1989. " Options Arbitrage in Imperfect Markets," Journal of Finance, American Finance Association, vol. 44(5), pages 1289-1311, December. [Downloadable!] (restricted)
2. 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.
   Other versions:
   • George M. Constantinides & Thaleia Zariphopoulou, 2001. "Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities," Mathematical Finance, Blackwell Publishing, vol. 11(3), pages 331-346. [Downloadable!] (restricted)
3. Ritchken, Peter H, 1985. " On Option Pricing Bounds," Journal of Finance, American Finance Association, vol. 40(4), pages 1219-33, September. [Downloadable!] (restricted)
4. Levy, Haim, 1985. " Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach," Journal of Finance, American Finance Association, vol. 40(4), pages 1197-1217, September. [Downloadable!] (restricted)
5. Perrakis, Stylianos & Ryan, Peter J, 1984. " Option Pricing Bounds in Discrete Time," Journal of Finance, American Finance Association, vol. 39(2), pages 519-25, June. [Downloadable!] (restricted)
6. Ritchken, Peter H & Kuo, Shyanjaw, 1988. " Option Bounds with Finite Revision Opportunities," Journal of Finance, American Finance Association, vol. 43(2), pages 301-08, June. [Downloadable!] (restricted)
7. Perrakis, Stylianos & Lefoll, Jean, 1997. "Derivative Asset Pricing with Transaction Costs: An Extension," Computational Economics, Springer, vol. 10(4), pages 359-76, November. [Downloadable!]
8. Brennan, Michael J & Schwartz, Eduardo S, 1979. "Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee," Journal of Business, University of Chicago Press, vol. 52(1), pages 63-93, January. [Downloadable!] (restricted)
9. Perrakis, Stylianos, 1986. "Option Bounds in Discrete Time: Extensions and the Pricing of the American Put," Journal of Business, University of Chicago Press, vol. 59(1), pages 119-41, January. [Downloadable!] (restricted)
10. (*), Thaleia Zariphopoulou & George M. Constantinides, 1999. "Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences," Finance and Stochastics, Springer, vol. 3(3), pages 345-369. [Downloadable!] (restricted)
    Other versions:
    • George M. Constantinides & Thaleia Zariphopoulou, . "Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences," CRSP working papers 347, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
11. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
12. Boyle, Phelim P & Vorst, Ton, 1992. " Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, vol. 47(1), pages 271-93, March. [Downloadable!] (restricted)
13. Leland, Hayne E, 1985. " Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December. [Downloadable!] (restricted)
    Other versions:
    • Hayne E. Leland., 1984. "Option Pricing and Replication with Transactions Costs," Research Program in Finance Working Papers 144, University of California at Berkeley.
14. Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1611-32, December. [Downloadable!] (restricted)
15. Edirisinghe, Chanaka & Naik, Vasanttilak & Uppal, Raman, 1993. "Optimal Replication of Options with Transactions Costs and Trading Restrictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 117-138, March. [Downloadable!]

Cited by:
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1. Jens Carsten Jackwerth & George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2008. "Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence," CoFE Discussion Paper 08-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
   Other versions:
   • Constantinides, George M. & Jackwerth, Jens Carsten & Czerwonko, Michal & Perrakis, Stylianos, 2008. "Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence," MPRA Paper 11644, University Library of Munich, Germany. [Downloadable!]
2. Pengguo wang, 2006. "Option Pricing with Long-Short Spreads," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 3(1), pages 1-28, June. [Downloadable!]
3. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany. [Downloadable!]
   Other versions:
   • Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis, 2005. "Option Pricing: Real and Risk-Neutral Distributions," CoFE Discussion Paper 05-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
4. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CREATES Research Papers 2009-33, School of Economics and Management, University of Aarhus. [Downloadable!]
5. Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005. "Demand-Based Option Pricing," NBER Working Papers 11843, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje & Poteshman, Allen M, 2005. "Demand-Based Option Pricing," CEPR Discussion Papers 5420, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
   • Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009. "Demand-Based Option Pricing," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(10), pages 4259-4299, October. [Downloadable!] (restricted)
6. 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. [Downloadable!]