Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167777
Authors: 
Poufinas, Thomas
Year of Publication: 
2015
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 3 [Year:] 2015 [Issue:] 2 [Pages:] 102-135
Abstract: 
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.
Subjects: 
risky asset
transaction costs
weakly complete markets
continuous-time markets
cost function
option pricing
JEL: 
C16
G11
G12
G13
G32
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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