Discrete Time Markets with Transaction Costs

2001 ◽  
Author(s):  
Lukasz Stettner
Keyword(s):  
Transaction Costs ◽  
Discrete Time

scholarly journals NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS

2013 ◽  
Vol 25 (4) ◽  
pp. 673-701 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Igor Cialenco ◽  
Rodrigo Rodriguez
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Arbitrage Pricing ◽  
No Arbitrage

Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution

2016 ◽  
Vol 06 (04) ◽  
pp. 1650018 ◽  
Author(s):  
Michal Czerwonko ◽  
Stylianos Perrakis
Keyword(s):  
Diffusion Process ◽  
Transaction Costs ◽  
Portfolio Selection ◽  
Discrete Time ◽  
Continuous Time ◽  
Jump Diffusion ◽  
Numerical Approach ◽  
Proportional Transaction Costs ◽  
Asset Portfolio ◽  
Time Formulation

We derive allocation rules under isoelastic utility for a mixed jump-diffusion process in a two-asset portfolio selection problem with finite horizon in the presence of proportional transaction costs. We adopt a discrete-time formulation, let the number of periods go to infinity, and show that it converges efficiently to the continuous-time solution for the cases where this solution is known. We then apply this discretization to derive numerically the boundaries of the region of no transactions. Our discrete-time numerical approach outperforms alternative continuous-time approximations of the problem.

scholarly journals Discrete time arbitrage under transaction costs

2000 ◽  
Vol 27 (4) ◽  
pp. 419-436
Author(s):  
Joanna Piasecka
Keyword(s):  
Transaction Costs ◽  
Discrete Time

Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model

2002 ◽  
Vol 12 (1) ◽  
pp. 45-61 ◽  
Author(s):  
FREDDY DELBAEN ◽  
YURI M. KABANOV ◽  
ESKO VALKEILA
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Currency Markets ◽  
Time Model ◽  
Discrete Time Model

scholarly journals Growth optimal investment in discrete-time markets with proportional transaction costs

2016 ◽  
Vol 48 ◽  
pp. 226-238
Author(s):  
N. Denizcan Vanli ◽  
Sait Tunc ◽  
Mehmet A. Donmez ◽  
Suleyman S. Kozat
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Optimal Investment ◽  
Proportional Transaction Costs
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