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Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs
Constantinides, George M.; Perrakis, Stylianos - In: Journal of Economic Dynamics and Control 26 (2002) 7-8, pp. 1323-1352
Persistent link: https://www.econbiz.de/10005205389
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Pricing continuously resettled contingent claims
Duffie, Darrell; Stanton, Richard - In: Journal of Economic Dynamics and Control 16 (1992) 3-4, pp. 561-573
Persistent link: https://www.econbiz.de/10005229344
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Hedging in incomplete markets with HARA utility
Duffie, Darrell; Fleming, Wendell; Soner, H. Mete; … - In: Journal of Economic Dynamics and Control 21 (1997) 4-5, pp. 753-782
Persistent link: https://www.econbiz.de/10005229756
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Optimal hedging and equilibrium in a dynamic futures market
Duffie, Darrell; Jackson, Matthew O. - In: Journal of Economic Dynamics and Control 14 (1990) 1, pp. 21-33
Persistent link: https://www.econbiz.de/10005160977
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Transactions costs and portfolio choice in a discrete-continuous-time setting
Duffie, Darrell; Sun, Tong-sheng - In: Journal of Economic Dynamics and Control 14 (1990) 1, pp. 35-51
Persistent link: https://www.econbiz.de/10005161004