IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v11y2001i3p331-346.html
   My bibliography  Save this article

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

Author

Listed:
  • George M. Constantinides
  • Thaleia Zariphopoulou

Abstract

The observed discrepancies of derivative prices from their theoretical, arbitrage‐free values are examined in the presence of transaction costs. Analytic upper and lower bounds on the reservation write and purchase prices, respectively, are obtained when an investor's preferences exhibit constant relative risk aversion between zero and one. The economy consists of multiple primary securities with stationary returns, a constant rate of interest, and any number of American or European derivatives with, possibly, path‐dependent arbitrary payoffs.

Suggested Citation

  • George M. Constantinides & Thaleia Zariphopoulou, 2001. "Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities," Mathematical Finance, Wiley Blackwell, vol. 11(3), pages 331-346, July.
    • Handle: RePEc:bla:mathfi:v:11:y:2001:i:3:p:331-346
    DOI: 10.1111/1467-9965.00118
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9965.00118
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1467-9965.00118?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:11:y:2001:i:3:p:331-346. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.