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Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities."

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  • GEORGE M. CONSTANTINIDES
  • THALEIA ZARIPHOPOULOU

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Paper provided by Center for Research in Security Prices, Graduate School of Business, University of Chicago in its series CRSP working papers with number 495.

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Handle: RePEc:wop:chispw:495

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Cited by:
  1. 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.
  2. 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.
  3. 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.

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