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Consumption-investment problems with transaction costs : survey and open problems

Cadenillas, Abel - In: Mathematical methods of operations research 51 (2000) 1, pp. 43-68

Persistent link: https://www.econbiz.de/10001488326

Optimal trading of a security when there are taxes and transaction costs

Cadenillas, Abel; Pliska, Stanley R. - In: Finance and stochastics 3 (1999) 2, pp. 137-165

Persistent link: https://www.econbiz.de/10001367012

Investors' preference for a positive tax rate depends on the level of the interest rate

Buescu, Cristin; Cadenillas, Abel - In: Mathematics and financial economics 1 (2007) 2, pp. 163-180

Persistent link: https://www.econbiz.de/10003591562

A note on the effects of taxes on optimal investment

Buescu, Cristin; Cadenillas, Abel; Pliska, Stanley R. - In: Mathematical finance : an international journal of … 17 (2007) 4, pp. 477-485

Persistent link: https://www.econbiz.de/10003626580

A closed-form solution to the problem of super-replication under transaction costs

Pham, HuyËn; Touzi, Nizar; Cvitanic, Jaksa - In: Finance and Stochastics 3 (1999) 1, pp. 35-54

We study the problem of finding the minimal price needed to dominate European-type contingent claims under proportional transaction costs in a continuous-time diffusion model. The result we prove has already been known in special cases - the minimal super-replicating strategy is the least...

Persistent link: https://www.econbiz.de/10005613413