[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 3 [Year:] 2015 [Issue:] 2 [Pages:] 102-135
Transaction-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.