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Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences |
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| Authors: | George M Constantinides Thaleia Zariphopoulou |
| Institution: | (1) Graduate School of Business, The University of Chicago, 1101 East 58th Street, Chicago, IL 60637, USA (e-mail: gmc@gsb.chicago.edu) , US;(2) The National Bureau of Economic Research, 1050 Massachusetts Avenue, Cambridge, MA 02138, USA , US;(3) School of Business and Department of Mathematics, University of Wisconsin, Madison, WI 53706, USA , US |
| Abstract: | |
| Keywords: | :Contingent claim prices bounds on prices transaction costs viscosity solutions |
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