Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
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- George M. Constantinides & Thaleia Zariphopoulou, "undated". "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.
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KeywordsContingent claim prices; bounds on prices; transaction costs; viscosity solutions;
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- D9 - Microeconomics - - Micro-Based Behavioral Economics
- G1 - Financial Economics - - General Financial Markets
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