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

Journal of Economic Dynamics and Control

Volumn 26, Issue 7-8, 2002, Pages 1323-1352

  Constantinides, George M ^a,b   Perrakis, Stylianos ^c  

^a UNIVERSITY OF CHICAGO   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c John Molson School of Business   (Canada)

Author keywords

Derivative pricing; Implied volatility bounds; Multiperiod stochastic dominance; Transaction costs

Indexed keywords

EID: 0036192971     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(01)00047-1     Document Type: Article

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