Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
By George M. Constantinides, Thaleia Zariphopoulou. 2001
82 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/548c72a84a3afcc4ea2a449c9b8f0eae48b8c989
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Virginia R. Young
- George M. Constantinides
- Stylianos Perrakis
- Thaleia Zariphopoulou
- Jens Carsten Jackwerth
- Michael Monoyios
- Vicky Henderson
- Michael Tehranchi
In Finance
- George M. Constantinides
- Virginia R. Young
- Stylianos Perrakis
- Jens Carsten Jackwerth
- Thaleia Zariphopoulou
- Michael Monoyios
- Vicky Henderson
- Michael Tehranchi
Citations in the corpus
- Stochastic Dominance Bounds on American Option Prices in Markets with Frictions (2007, background): “The stochastic dominance bounds derived in this paper complement the utility-based bounds on the prices of American and European options, derived in Constantinides and Zariphopoulou (1999, 2001) .”
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility (2002, background): “Constantinides & Zariphopoulou (1999) introduced universal prices in markets with trans- action costs, and subsequently others used them for different market imperfections (see, for example, Constantinides & Zariphopoulou, 2001; Munk, 2000; and Mazaheri, 2001).”
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE (2004, background): “Since then, a substantial body of work has been produced by using either stochastic control methods (Davis and Zariphopoulou 1995; Constantinides and Zariphopoulou 1999, 2001; Barles and Soner 1998; Musiela and Zariphopoulou 2002) or martingale theory arguments (Davis 1997; Karatzas and Kou 1996;…”
- Mispricing of S&P 500 Index Options (2006, background): “This problem is studied in Constantinides and Zariphopoulou (1999, 2001).”
- Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000, unknown): “For this reason, most of the literature on option pricing bounds with explicit transactions costs also considers two-period analysis or ad hoc trading rules, for example, Leland (1985), Constantinides and Zariphopoulou (1997), and Constantinides (1998).”
- Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs (2002, unknown): “…on the reservation write price of a European call option is weaker than the upper bound derived in the present paper, the comparative advantage of the Constantinides and Zariphopoulou (2001) approach is that the derivative need not be European and its payo need not be convex and path independent.”