scholarly journals Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

10.3386/w8867 ◽  
2002 ◽  
Author(s):  
George Constantinides ◽  
Stylianos Perrakis
Keyword(s):  
Transaction Costs ◽  
Stochastic Dominance ◽  
Proportional Transaction Costs

Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs

2002 ◽  
Vol 26 (7-8) ◽  
pp. 1323-1352 ◽  
Author(s):  
George M. Constantinides ◽  
Stylianos Perrakis
Keyword(s):  
Transaction Costs ◽  
Stochastic Dominance ◽  
Proportional Transaction Costs

scholarly journals Robust hedging with proportional transaction costs

2014 ◽  
Vol 18 (2) ◽  
pp. 327-347 ◽  
Author(s):  
Yan Dolinsky ◽  
H. Mete Soner
Keyword(s):  
Transaction Costs ◽  
Proportional Transaction Costs ◽  
Robust Hedging
Sign in / Sign up

Export Citation Format

Share Document