Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/167777 
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Erscheinungsjahr: 
2015
Quellenangabe: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 3 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2015 [Pages:] 102-135
Verlag: 
MDPI, Basel
Zusammenfassung: 
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.
Schlagwörter: 
risky asset
transaction costs
weakly complete markets
continuous-time markets
cost function
option pricing
JEL: 
C16
G11
G12
G13
G32
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