(*), Thaleia Zariphopoulou; Constantinides, George M. - In: Finance and Stochastics 3 (1999) 3, pp. 345-369
Analytic bounds on the reservation write price of European-style contingent claims are derived in the presence of proportional transaction costs in a model which allows for intermediate trading. The option prices are obtained via a utility maximization approach by comparing the maximized...