A discrete stochastic model for investment with an application to the transaction costs case
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- Elyès Jouini & Laurence Carassus, 2000. "A discrete stochastic model for investment withan application to the transaction costs case," Post-Print halshs-00167143, HAL.
References listed on IDEAS
- Jouini Elyes & Kallal Hedi, 1995.
"Martingales and Arbitrage in Securities Markets with Transaction Costs,"
Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
- Elyès Jouini & Hedi Kallal, 1995. "Martingale and Arbitrage in securities markets with transaction cost," Post-Print halshs-00167138, HAL.
- Elyès Jouini, 2001.
"Arbitrage and investment opportunities,"
Finance and Stochastics, Springer, vol. 5(3), pages 305-325.
- Elyès Jouini & Clotilde Napp, 1998. "Arbitrage and Investment Opportunities," Working Papers 98-29, Center for Research in Economics and Statistics.
- Elyès Jouini & Clotilde Napp, 2001. "Arbitrage and investment opportunities," Post-Print halshs-00778381, HAL.
- Elyès Jouini & Clotilde Napp, 1999. "Arbitrage and Investment Opportunities," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-034, New York University, Leonard N. Stern School of Business-.
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- Ilan Adler & David Gale, 1997. "Arbitrage and Growth Rate for Riskless Investments in a Stationary Economy," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 73-81, January.
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Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 169-178, July.
- Elyès Jouini & Laurence Carassus, 1998. "Investment and arbitrage opportunities with short sales constraints," Post-Print halshs-00167140, HAL.
- Cantor, David G & Lippman, Steven A, 1995. "Optimal Investment Selection with a Multitude of Projects," Econometrica, Econometric Society, vol. 63(5), pages 1231-1240, September.
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- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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Cited by:
- Jouini, Elyes, 2001.
"Arbitrage and control problems in finance: A presentation,"
Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
- Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
- Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
- repec:dau:papers:123456789/5590 is not listed on IDEAS
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