On Transaction-Cost Models in Continuous-Time Markets
AbstractTransaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs, built in certain recommended ways, have to be paid. Markets prove to behave in manners that resemble those of complete ones for a wide variety of transaction-cost types. The results are important, but not exclusively, for the pricing of options with transaction costs. View Full-Text
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Poufinas, T. On Transaction-Cost Models in Continuous-Time Markets. Int. J. Financial Stud. 2015, 3, 102-135.
Poufinas T. On Transaction-Cost Models in Continuous-Time Markets. International Journal of Financial Studies. 2015; 3(2):102-135.Chicago/Turabian Style
Poufinas, Thomas. 2015. "On Transaction-Cost Models in Continuous-Time Markets." Int. J. Financial Stud. 3, no. 2: 102-135.