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Derivative Asset Pricing With Transaction Costs1

Citations

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Cited by:

  1. Bettzuge, Marc Oliver & Hens, Thorsten & Laitenberger, Marta & Siwik, Thomas, 2000. "On Choquet prices in a GEI-model with intermediation costs," Research in Economics, Elsevier, vol. 54(2), pages 133-152, June.
  2. Julien Baptiste & Laurence Carassus & Emmanuel L'epinette, 2018. "Pricing without martingale measure," Papers 1807.04612, arXiv.org, revised May 2019.
  3. Barbara Trivellato, 2009. "Replication and shortfall risk in a binomial model with transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(1), pages 1-26, March.
  4. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, January.
  5. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-369.
  6. Araujo, Aloisio & Chateauneuf, Alain & Faro, José Heleno, 2018. "Financial market structures revealed by pricing rules: Efficient complete markets are prevalent," Journal of Economic Theory, Elsevier, vol. 173(C), pages 257-288.
  7. Peter Bank & Dietmar Baum, 2004. "Hedging and Portfolio Optimization in Financial Markets with a Large Trader," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 1-18, January.
  8. De Waegenaere, A.M.B. & Kast, R. & Lapied, A., 1996. "Non-Linear Asset Valuation on Markets with Frictions," Discussion Paper 1996-112, Tilburg University, Center for Economic Research.
  9. Huang, Kevin X. D., 2002. "On infinite-horizon minimum-cost hedging under cone constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 283-301, December.
  10. Santa-Clara, Pedro & Saretto, Alessio, 2009. "Option strategies: Good deals and margin calls," Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.
  11. Alet Roux, 2015. "Pricing and hedging game options in currency models with proportional transaction costs," Papers 1504.07920, arXiv.org, revised Aug 2015.
  12. Hara, Chiaki, 2012. "Asset prices, trading volumes, and investor welfare in markets with transaction costs," CIS Discussion paper series 556, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
  13. Pelsser, Antoon & Vorst, Ton, 1996. "Transaction costs and efficiency of portfolio strategies," European Journal of Operational Research, Elsevier, vol. 91(2), pages 250-263, June.
  14. C. Atkinson & C. A. Alexandropoulos, 2006. "Pricing a European Basket Option in the Presence of Proportional Transaction Costs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(3), pages 191-214.
  15. Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
  16. Barr, Kanlaya Jintanakul, 2009. "The implied volatility bias and option smile: is there a simple explanation?," ISU General Staff Papers 200901010800002026, Iowa State University, Department of Economics.
  17. Katsiaryna Kaval & Ilya Molchanov, 2005. "Link-save trading and pricing of contingent claims," Finance 0511017, University Library of Munich, Germany.
  18. Alet Roux & Tomasz Zastawniak, 2016. "Game options with gradual exercise and cancellation under proportional transaction costs," Papers 1612.02312, arXiv.org.
  19. 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.
  20. Branger, Nicole & Mahayni, Antje, 2006. "Tractable hedging: An implementation of robust hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1937-1962, November.
  21. Gianluca Cassese, 2014. "Option Pricing in an Imperfect World," Papers 1406.0412, arXiv.org, revised Sep 2016.
  22. Elyès Jouini, 2003. "Market imperfections , equilibrium and arbitrage," Post-Print halshs-00167131, HAL.
  23. repec:dau:papers:123456789/5593 is not listed on IDEAS
  24. Alet Roux, 2016. "Pricing And Hedging Game Options In Currency Models With Proportional Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-25, November.
  25. repec:dau:papers:123456789/4721 is not listed on IDEAS
  26. Aloisio Araujo & Alain Chateauneuf & José Faro, 2012. "Pricing rules and Arrow–Debreu ambiguous valuation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 49(1), pages 1-35, January.
  27. Erindi Allaj, 2013. "Implicit transaction costs and the fundamental theorems of asset pricing," Papers 1310.1882, arXiv.org, revised Jul 2017.
  28. W. Li & S. Wang, 2009. "Penalty Approach to the HJB Equation Arising in European Stock Option Pricing with Proportional Transaction Costs," Journal of Optimization Theory and Applications, Springer, vol. 143(2), pages 279-293, November.
  29. Chowdhury, Reaz & Mahdy, M.R.C. & Alam, Tanisha Nourin & Al Quaderi, Golam Dastegir & Arifur Rahman, M., 2020. "Predicting the stock price of frontier markets using machine learning and modified Black–Scholes Option pricing model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
  30. repec:dau:papers:123456789/5374 is not listed on IDEAS
  31. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach," Operations Research, INFORMS, vol. 49(3), pages 372-397, June.
  32. Silvia Florio & Wolfgang Runggaldier, 1999. "On hedging in finite security markets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(3), pages 159-176.
  33. Kaval, K. & Molchanov, I., 2006. "Link-save trading," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 710-728, September.
  34. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "When Is Time Continuous?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 3, pages 71-102, World Scientific Publishing Co. Pte. Ltd..
  35. Elyès Jouini & Hédi Kallal, 1999. "Viability and Equilibrium in Securities Markets with Frictions," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 275-292, July.
  36. Sergei Fedotov & Sergei Mikhailov, 2001. "Option Pricing For Incomplete Markets Via Stochastic Optimization: Transaction Costs, Adaptive Control And Forecast," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 179-195.
  37. Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
  38. Clewlow, Les & Hodges, Stewart, 1997. "Optimal delta-hedging under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1353-1376, June.
  39. Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 105431, University Library of Munich, Germany, revised 28 Dec 2020.
  40. Jörn Sass & Manfred Schäl, 2014. "Numeraire portfolios and utility-based price systems under proportional transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 195-234, October.
  41. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
  42. Jouini, Elyes, 2000. "Price functionals with bid-ask spreads: an axiomatic approach," Journal of Mathematical Economics, Elsevier, vol. 34(4), pages 547-558, December.
  43. Stefano Baccarin, 2019. "Static use of options in dynamic portfolio optimization under transaction costs and solvency constraints," Working papers 063, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  44. Erindi Allaj, 2017. "Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-39, June.
  45. Antje Mahayni, 2003. "Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(05), pages 521-552.
  46. Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
  47. Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 197-221, April.
  48. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2022. "Next generation models for portfolio risk management: An approach using financial big data," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(3), pages 765-787, September.
  49. Perrakis, Stylianos & Lefoll, Jean, 2000. "Option pricing and replication with transaction costs and dividends," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1527-1561, October.
  50. Garivaltis, Alex, 2019. "Two resolutions of the margin loan pricing puzzle," Research in Economics, Elsevier, vol. 73(2), pages 199-207.
  51. Elettra Agliardi & Rainer Andergassen, 2007. "(S,S)-Adjustment Strategies And Dynamic Hedging," Working Paper series 09_07, Rimini Centre for Economic Analysis.
  52. Reiß, Ariane, 1997. "Option replication with large transactions costs," Tübinger Diskussionsbeiträge 106, University of Tübingen, School of Business and Economics.
  53. Cristina Mihaela Onica & Nicoleta Ghilic & Maria-Gabriela Chirita, 2015. "News And Perspectives On Accounting And Econometric Modeling Cash Flow Indicators In The Companies Listed On The Capital Market," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 435-443.
  54. Tahir Choulli & Emmanuel Lepinette, 2024. "Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon," Papers 2401.05713, arXiv.org.
  55. Hara, Chiaki, 2000. "Transaction costs and a redundant security: divergence of individual and social relevance1," Journal of Mathematical Economics, Elsevier, vol. 33(4), pages 497-530, May.
  56. Joao Amaro de Matos & Paula Antao, 2000. "Market illiquidity and the Bid-Ask spread of derivatives," Nova SBE Working Paper Series wp386, Universidade Nova de Lisboa, Nova School of Business and Economics.
  57. Elyès Jouini & Clotilde Napp, 1998. "Contiuous Time Equilibrium Pricing of Nonredundant Assets," Working Papers 98-30, Center for Research in Economics and Statistics.
  58. Sergei Fedotov & Sergei Mikhailov, 1998. "Option Pricing Model for Incomplete Market," Papers cond-mat/9807397, arXiv.org, revised Aug 1998.
  59. Erik Aurell & Paolo Muratore-Ginanneschi, 2006. "Optimal Hedging Of Derivatives With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(07), pages 1051-1069.
  60. Laurence Carassus & Emmanuel L'epinette, 2021. "Pricing without no-arbitrage condition in discrete time," Papers 2104.02688, arXiv.org.
  61. Bertram Düring & Michel Fournié & Ansgar Jüngel, 2003. "High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(07), pages 767-789.
  62. Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 383-408, June.
  63. Avinash & T. Mallikarjunappa, 2020. "Informational Role of Open Interest and Transaction Volume of Options: A Meta-Analytic Review," FIIB Business Review, , vol. 9(4), pages 275-285, December.
  64. 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.
  65. Maria Arduca & Cosimo Munari, 2020. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Papers 2012.08351, arXiv.org, revised Apr 2022.
  66. Albanese, Claudio & Tompaidis, Stathis, 2008. "Small transaction cost asymptotics and dynamic hedging," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1404-1414, March.
  67. Maria Arduca & Cosimo Munari, 2023. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Finance and Stochastics, Springer, vol. 27(3), pages 831-862, July.
  68. Lorenzo Bastianello & Alain Chateauneuf & Bernard Cornet, 2022. "Put-Call Parities, absence of arbitrage opportunities and non-linear pricing rules," Papers 2203.16292, arXiv.org.
  69. M. Rezaei & A. R. Yazdanian & A. Ashrafi & S. M. Mahmoudi, 2022. "Numerically Pricing Nonlinear Time-Fractional Black–Scholes Equation with Time-Dependent Parameters Under Transaction Costs," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 243-280, June.
  70. Pieter Klaassen, 1998. "Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis," Management Science, INFORMS, vol. 44(1), pages 31-48, January.
  71. Oleg Szehr, 2021. "Hedging of Financial Derivative Contracts via Monte Carlo Tree Search," Papers 2102.06274, arXiv.org, revised Apr 2021.
  72. Laurence Carassus, 2021. "No free lunch for markets with multiple num\'eraires," Papers 2107.12885, arXiv.org, revised Dec 2022.
  73. Joao Amaro De Matos & Paula Antao, 2003. "Market illiquidity and bounds on European option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 475-498.
  74. Gianluca Cassese, 2017. "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
  75. Koehl, Pierre-F. & Pham, Huyen, 2000. "Sublinear price functionals under portfolio constraints," Journal of Mathematical Economics, Elsevier, vol. 33(3), pages 339-351, April.
  76. Andrea Gam & Paolo Pellizzari, 2002. "Utility based pricing of contingent claims in incomplete markets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(4), pages 241-260.
  77. A. Gamba & P. Pellizzari, 1999. "Utility based pricing of contingent claims," Finance 9902003, University Library of Munich, Germany, revised 14 Oct 2002.
  78. Alet Roux & Tomasz Zastawniak, 2006. "A counter-example to an option pricing formula under transaction costs," Finance and Stochastics, Springer, vol. 10(4), pages 575-578, December.
  79. Perrakis, Stylianos & Lefoll, Jean, 2004. "The American put under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 915-935, February.
  80. Kallio, Markku & Ziemba, William T., 2007. "Using Tucker's theorem of the alternative to simplify, review and expand discrete arbitrage theory," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2281-2302, August.
  81. Tsetsekos, George & Varangis, Panos, 1998. "The structure of derivatives exchanges : lessons from developed and emerging markets," Policy Research Working Paper Series 1887, The World Bank.
  82. Lai, Tze Leung & Lim, Tiong Wee, 2009. "Option hedging theory under transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 33(12), pages 1945-1961, December.
  83. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.
  84. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
  85. Carassus, Laurence, 2023. "No free lunch for markets with multiple numéraires," Journal of Mathematical Economics, Elsevier, vol. 104(C).
  86. Alain Chateauneuf & Bernard Cornet, 2022. "Submodular financial markets with frictions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 721-744, April.
  87. Nan Zhang & Alet Roux & Tomasz Zastawniak, 2011. "Parallel Binomial American Option Pricing with (and without) Transaction Costs," Papers 1110.2477, arXiv.org.
  88. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October.
  89. Wen Li & Song Wang, 2014. "A numerical method for pricing European options with proportional transaction costs," Journal of Global Optimization, Springer, vol. 60(1), pages 59-78, September.
  90. Damgaard, Anders, 2003. "Utility based option evaluation with proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 27(4), pages 667-700, February.
  91. Roger, Patrick, 2000. "Properties of bid and ask reservation prices in the rank-dependent expected utility model," Journal of Mathematical Economics, Elsevier, vol. 34(3), pages 269-285, November.
  92. Laurence Carassus & Miklos Rasonyi, 2019. "Risk-neutral pricing for APT," Papers 1904.11252, arXiv.org, revised Oct 2020.
  93. Alet Roux & Zhikang Xu, 2019. "Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs," Papers 1909.06260, arXiv.org, revised May 2021.
  94. Robert A. Jarrow, 2008. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 7, pages 131-151, World Scientific Publishing Co. Pte. Ltd..
  95. Astic, Fabian & Touzi, Nizar, 2007. "No arbitrage conditions and liquidity," Journal of Mathematical Economics, Elsevier, vol. 43(6), pages 692-708, August.
  96. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
  97. Laurence Carassus & Miklós Rásonyi, 2020. "Risk-Neutral Pricing for Arbitrage Pricing Theory," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 248-263, July.
  98. repec:dau:papers:123456789/5599 is not listed on IDEAS
  99. Ostermark, Ralf, 1998. "Call option pricing and replication under economic friction," European Journal of Operational Research, Elsevier, vol. 108(1), pages 184-195, July.
  100. Melnikov, Alexander & Tong, Shuo, 2014. "Quantile hedging on equity-linked life insurance contracts with transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 77-88.
  101. Alex Garivaltis, 2018. "Super-Replication of the Best Pairs Trade in Hindsight," Papers 1810.02444, arXiv.org, revised Oct 2022.
  102. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2021. "Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data," Papers 2102.12783, arXiv.org, revised Feb 2022.
  103. Tzuu-Shuh Chiang & Shang-Yuan Shiu & Shuenn-Jyi Sheu, 2007. "Price systems for markets with transaction costs and control problems for some finance problems," Papers math/0702828, arXiv.org.
  104. Elettra Agliardi & Rainer Andergassen, 2011. "(S,s)-adjustment Strategies and Hedging under Markovian Dynamics," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 36(2), pages 112-131, December.
  105. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  106. Andrea Cinfrignini & Davide Petturiti & Barbara Vantaggi, 2023. "Envelopes of equivalent martingale measures and a generalized no-arbitrage principle in a finite setting," Annals of Operations Research, Springer, vol. 321(1), pages 103-137, February.
  107. Andreas Lohne & Birgit Rudloff, 2011. "An algorithm for calculating the set of superhedging portfolios in markets with transaction costs," Papers 1107.5720, arXiv.org, revised Dec 2013.
  108. E. Jouini & P. -F. Koehl & N. Touzi, 1997. "Incomplete markets, transaction costs and liquidity effects," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 325-347.
  109. João Amaro De Matos & João Sobral Do Rosário, 2002. "Market Power And Feedback Effects From Hedging Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(08), pages 845-875.
  110. Jacques, Sébastien & Lai, Van Son & Soumaré, Issouf, 2011. "Synthetizing a debt guarantee: Super-replication versus utility approach," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 27-40, January.
  111. Romain Blanchard & Laurence Carassus, 2021. "Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 366-398, January.
  112. Romain Blanchard & Laurence Carassus, 2017. "Convergence of utility indifference prices to the superreplication price in a multiple-priors framework," Papers 1709.09465, arXiv.org, revised Oct 2020.
  113. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  114. Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Jan 2015.
  115. Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
  116. repec:dau:papers:123456789/5603 is not listed on IDEAS
  117. Bank, Peter & Baum, Dietmar, 2002. "Hedging and portfolio optimization in illiquid financial markets," SFB 373 Discussion Papers 2002,53, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  118. Chiaki Hara, 2013. "Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs　," KIER Working Papers 862, Kyoto University, Institute of Economic Research.
  119. Baccara, Mariagiovanna & Battauz, Anna & Ortu, Fulvio, 2006. "Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 55-79, January.
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