On Transaction-Cost Models in Continuous-Time Markets

On Transaction-Cost Models in Continuous-Time Markets

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...

Full description

Bibliographic Details
Main Author: Thomas Poufinas
Format: Article
Language:English
Published: MDPI AG 2015-04-01
Series:International Journal of Financial Studies
Subjects:
risky asset
transaction costs
weakly complete markets
continuous-time markets
cost function
option pricing
Online Access:http://www.mdpi.com/2227-7072/3/2/102

Internet

http://www.mdpi.com/2227-7072/3/2/102

Similar Items