Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities

Mathematical Finance

Volumn 11, Issue 3, 2001, Pages 331-346

  Constantinides, George M ^b   Zariphopoulou, Thaleia ^a  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

American claims; Derivative pricing; Exotic options; Multiple securities; Transaction costs; Utility maximization; Volatility smile

Indexed keywords

EID: 0035640804     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00118     Document Type: Article

References (18)

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