On transaction-cost models in continuous-time markets

Thomas Poufinas

Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs, built in certain recommended ways, have to be paid. Markets prove to behave in manners that resemble those of complete ones for a wide variety of transaction-cost types. The results are important, but not exclusively, for the pricing of options with transaction costs.

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Year of publication:	2015
Authors:	Poufinas, Thomas
Subject:	risky asset \| transaction costs \| weakly complete markets \| continuous-time markets \| cost function \| option pricing \| Transaktionskosten \| Transaction costs \| Optionspreistheorie \| Option pricing theory \| Portfolio-Management \| Portfolio selection \| Kostenfunktion \| Cost function \| CAPM

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