Zobrazeno 1 - 10
of 983
pro vyhledávání: '"Proportional transaction cost"'
We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem. We recover the duality results that are well known in the classical dominated context. Our key argument co
Externí odkaz:
http://arxiv.org/abs/1707.09158
Autor:
Bouchard, Bruno1 (AUTHOR) bouchard@ceremade.dauphine.fr, Deng, Shuoqing1 (AUTHOR), Tan, Xiaolu1 (AUTHOR)
Publikováno v:
Mathematical Finance. Jul2019, Vol. 29 Issue 3, p837-860. 24p.
Autor:
Alcala, Jose V., Fahim, Arash
Transaction costs appear in financial markets in more than one form. There are several results in the literature on small proportional transaction cost and not that many on fixed transaction cost. In the present work, we heuristically study the effec
Externí odkaz:
http://arxiv.org/abs/1304.7562
Autor:
Kamin, Jules H.
Publikováno v:
Management Science, 1975 Jul 01. 21(11), 1263-1271.
Externí odkaz:
https://www.jstor.org/stable/2629888
Publikováno v:
Mathematical Finance. 29:837-860
We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem. We recover the duality results that are well known in the classical dominated context. Our key argument co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::48bfe9e1a168d01a35fd9fdbac7d7f2f
https://doi.org/10.1111/mafi.12197
https://doi.org/10.1111/mafi.12197
Autor:
Chao Zhou, Weiwei Zhang
Publikováno v:
CIFEr
Portfolio selection with proportional transaction cost is a singular stochastic control problem that has been widely discussed. In this paper, we propose a deep learning based numerical scheme to solve transaction cost problems, and compare its effec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6546d11f4ea4ee30aee34e0f883d46b1
https://doi.org/10.1109/cifer.2019.8759056
https://doi.org/10.1109/cifer.2019.8759056
Publikováno v:
Mathematical Finance
Mathematical Finance, Wiley, 2019, 29 (3), pp.837-860
Mathematical Finance, Wiley, 2019, 29 (3), pp.837-860
International audience; We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem. We recover the duality results that are well known in the classical dominated cont
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::07f112dcb91d3a177dab0f75e5c87c12
https://hal.archives-ouvertes.fr/hal-01569832
https://hal.archives-ouvertes.fr/hal-01569832
Conference
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Autor:
Bo Wang, Qingxin Meng
Publikováno v:
Journal of Control Theory and Applications. 4:114-120
In a general continuous-time market model with proportional transaction costs, we derive the range of arbitrage-free prices of American contingent claims. Using a martingale approach, we obtain the upper and the lower hedging price of American contin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a651806e71747bc97686efe41f717eb6
https://doi.org/10.1007/s11768-006-4078-7
https://doi.org/10.1007/s11768-006-4078-7
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.