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On the fractional Black-Scholes market with transaction costs
fractional Brownian motion proportional transaction costs
2010/10/20
We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1}...
Limit Theorems for Partial Hedging Under Transaction Costs
Limit Theorems Transaction Costs
2010/10/19
We study shortfall risk minimization for American options with path dependent payoffs under proportional transaction costs in the Black--Scholes (BS) model. We show that for this case the shortfall ri...
No-arbitrage of second kind in countable markets with proportional transaction costs
No-arbitrage transaction costs bond market
2010/10/21
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable asse...
Continuous-Time Markowitz's Model with Transaction Costs
continuous time mean-variance transaction costs singular stochastic control planning horizon
2010/11/1
A continuous-time Markowitz’s mean-variance portfolio selection problem is studied in a market
with one stock, one bond, and proportional transaction costs. This is a singular stochastic control prob...
UNDERSTANDING THE TRANSACTION COSTS OF TRANSITION: IT’S THE CULTURE, STUPID
TRANSACTION COSTS TRANSITION CULTURE STUPID
2014/6/25
In the early 1990s, Central and Eastern Europecountires (C&EE) began transition into free-market, private-property economies. Thirteen years later, the Index of Economic Freedom published annually by ...