Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
Year of publication: |
March 2002
|
---|---|
Authors: | Constantinides, George M. |
Other Persons: | Perrakis, Stylianos (contributor) |
Institutions: | National Bureau of Economic Research (contributor) |
Publisher: |
Cambridge, Mass : National Bureau of Economic Research |
Subject: | Transaktionskosten | Transaction costs | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Portfolio-Management | Portfolio selection |
Extent: | 1 Online-Ressource |
---|---|
Series: | NBER working paper series ; no. w8867 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers. |
Other identifiers: | 10.3386/w8867 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Option pricing and hedging with execution costs and market impact
Guéant, Olivier, (2017)
-
Kōnstantinidēs, Giōrgos, (2002)
-
Constantinides, George M., (2010)
- More ...
-
Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
Constantinides, George M., (2010)
-
Mispricing of S&P 500 Index Options
Constantinides, George M., (2008)
-
Mispriced Index Option Portfolios
Constantinides, George M., (2017)
- More ...