Stochastic dominance bounds on derivative prices in a multiperiod economy with proportional transaction costs
By: George M. Constantinides, Stylianos Perrakis.
Contributors: Perrakis, Stylianos, 1938-; National Bureau of Economic Research.
Series: NBER working paper series -- no. 8867; Working paper series (National Bureau of Economic Research) -- working paper no. 8867.
Publisher: National Bureau of Economic Research
Published: 2002
Place of publication: Cambridge, MA
Language: eng
Number of pages: 56
Subjects: Derivative securities -- Prices -- Europe.; Transaction costs -- Europe.; Stochastic processes.
Notes: "April 2002."

JEL no. G13.

Includes bibliographical references (p. 50-53).

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Electronic version available via the Internet at the NBER World Wide Web site.