Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities
Year of publication: |
2001
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Authors: | Kōnstantinidēs, Giōrgos ; Zariphopoulou-Souganidis, Thaleia |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 11.2001, 3, p. 331-346
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Subject: | Optionspreistheorie | Option pricing theory | Intertemporale Allokation | Intertemporal allocation | Transaktionskosten | Transaction costs | Dynamische Optimierung | Dynamic programming | Theorie | Theory |
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