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...

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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
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spelling doaj-6f29bbb2abc54fcf8af50a4f576531aa2020-11-25T02:46:55ZengMDPI AGInternational Journal of Financial Studies2227-70722015-04-013210213510.3390/ijfs3020102ijfs3020102On Transaction-Cost Models in Continuous-Time MarketsThomas Poufinas0Department of Economics, Democritus University of Thrace, Panepistimioupolis, Komotini 69100, GreeceTransaction-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.http://www.mdpi.com/2227-7072/3/2/102risky assettransaction costsweakly complete marketscontinuous-time marketscost functionoption pricing
collection DOAJ
language English
format Article
sources DOAJ
author Thomas Poufinas
spellingShingle Thomas Poufinas
On Transaction-Cost Models in Continuous-Time Markets
International Journal of Financial Studies
risky asset
transaction costs
weakly complete markets
continuous-time markets
cost function
option pricing
author_facet Thomas Poufinas
author_sort Thomas Poufinas
title On Transaction-Cost Models in Continuous-Time Markets
title_short On Transaction-Cost Models in Continuous-Time Markets
title_full On Transaction-Cost Models in Continuous-Time Markets
title_fullStr On Transaction-Cost Models in Continuous-Time Markets
title_full_unstemmed On Transaction-Cost Models in Continuous-Time Markets
title_sort on transaction-cost models in continuous-time markets
publisher MDPI AG
series International Journal of Financial Studies
issn 2227-7072
publishDate 2015-04-01
description 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.
topic risky asset
transaction costs
weakly complete markets
continuous-time markets
cost function
option pricing
url http://www.mdpi.com/2227-7072/3/2/102
work_keys_str_mv AT thomaspoufinas ontransactioncostmodelsincontinuoustimemarkets
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