Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

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Option-Implied Risk-Neutral Distributions and Risk Aversion (2004, unknown): “Constantinides and Perrakis (2002) provided such bounds, and empirical tests on S&P 500 options have shown that they are much tighter than existing bounds.”
Illiquidity Premia in the Equity Options Market (2018, background): “Constantinides and Perrakis (2002, 2007), Oancea and Perrakis (2007), and Constantinides, Jackwerth, and Perrakis (2009) rely on a stochastic dominance approach to characterize bounds on option prices.”
Stochastic Dominance Bounds on American Option Prices in Markets with Frictions (2007, methodology): “Unfortunately, these bounds do not survive the introduction of transaction costs and are eventually dominated by the weaker bound of Perrakis and Ryan (1984), which is similar to that of Proposition 1 in Constantinides and Perrakis (2002) .”
Demand-Based Option Pricing (2009, background): “One of the major achievements of financial economics is the no-arbitrage theory that determines derivative prices independently of investor demand. Building on the seminal contributions of Black and Scholes (1973) and Merton (1973), a large literature develops various parametric implementations of t”