Directory UMM :Data Elmu:jurnal:J-a:Journal Of Economic Dynamics And Control:Vol24.Issue11-12.Oct2000:
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Balvers, R.J., Mitchell, D.W., E$cient gradualism in intertemporal portfolios 21 Barnett, W.A., Serletis, A., Martingales, nonlinearity, and chaos 703 Barucci, E., Exponentially
This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of stock returns, for a market maker that establishes bid and
In Section 3, we introduce the lattice-subspace property of the asset span and show that it is necessary and su$cient for the minimum-cost portfolio insurance to be price independent
Our framework allows us to show that the polynomial approximations of Madan and Milne (1994) are optimal (in a ¸ 2 sense) when the eigenfunctions of the pricing operator are
