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Connections between discrete-time and continuous-time financial models

Sun, Tong-sheng - 1987

Persistent link: https://www.econbiz.de/10000167721

Strategien zur Absicherung ungewisser Verpflichtungen mit Transaktionskosten im Binomialmodell

Wehrmann, Dirk C. - 1998

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Utility based option pricing with proportional transaction costs and diversification problems : an interior point optimization approach

Andersen, Erling D.; Damgaard, Anders - 1997

Persistent link: https://www.econbiz.de/10000960751

Optionsbildung und Absicherung von Optionen unter Berücksichtigung von Transaktionskosten

Safarian, Mher M. - 1997

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Contingent claims analysis and life-cycle finance

Bodie, Zvi; Ruffino, Doriana; Treussard, Jonathan - In: The American economic review 98 (2008) 2, pp. 291-296

Persistent link: https://www.econbiz.de/10003730192

Essays on market frictions and model misspecification in asset pricing

Seeger, Norman - 2009

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Contingent claims analysis and life-cycle finance

Bodie, Zvi; Ruffino, Doriana; Treussard, Jonathan - 2008 - Rev.

This paper explores the application of contingent claims analysis (CCA) to two quot;hotquot; issues in life-cycle finance: (1) investing for retirement and (2) deciding when, if ever, to switch careers. Participants in individual retirement accounts do not have the time or the knowledge to make...

Persistent link: https://www.econbiz.de/10003888707

Contingent claim valuation with penalty costs on short selling positions

Costa, O. L. V.; Queiroz Filho, E. V. - In: Computational finance and its applications II : [Second …, (pp. 151-160). 2006

Persistent link: https://www.econbiz.de/10003410132

A counter-example to an option pricing formula under transaction costs

Roux, Alet; Zastawniak, Tomasz - In: Finance and stochastics 10 (2006) 4, pp. 575-578

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Valuing options with transaction costs : a generalized approach from a decision analytic perspective

Ninomiya, Kazuhiro - 2003

Persistent link: https://www.econbiz.de/10003623907

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