Cash Stream Valuation In the Face of Transaction Costs and Taxes
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DOI: 10.1111/j.1467-9965.1991.tb00003.x
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Citations
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Cited by:
- Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
- Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, September.
- Flåm, Sjur, 2007.
"Option Pricing by Mathematical Programming,"
Working Papers
2007:10, Lund University, Department of Economics.
- Flåm, Sjur Didrik, 2007. "Option pricing by mathematical programming," Working Papers in Economics 08/07, University of Bergen, Department of Economics.
- Alet Roux & Tomasz Zastawniak, 2016. "Game options with gradual exercise and cancellation under proportional transaction costs," Papers 1612.02312, arXiv.org.
- Stefan Jaschke & Richard Stehle & Stephan Wernicke, 2000. "Arbitrage und die Gültigkeit des Barwertprinzips im Markt für Bundeswertpapiere," Schmalenbach Journal of Business Research, Springer, vol. 52(5), pages 440-468, August.
- Elyès Jouini, 2003.
"Market imperfections , equilibrium and arbitrage,"
Post-Print
halshs-00167131, HAL.
- Elyès Jouini, 2003. "Market imperfections, equilibrium and arbitrage," Finance 0312005, University Library of Munich, Germany.
- Birge, John R. & Yang, Song, 2007. "A model for tax advantages of portfolios with many assets," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3269-3290, November.
- Stehle, Richard & Jaschke, Stefan R. & Wernicke, S., 1998. "Tax clientele effects in the German bond market," SFB 373 Discussion Papers 1998,11, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Teemu Pennanen & Ari-Pekka Perkkiö, 2018. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 22(4), pages 733-771, October.
- Teemu Pennanen & Ari-Pekka Perkkio, 2016. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Papers 1603.02867, arXiv.org.
- Teemu Pennanen, 2008. "Arbitrage and deflators in illiquid markets," Papers 0807.2526, arXiv.org, revised Apr 2009.
- Paolo Guasoni & Mikl'os R'asonyi, 2015. "Hedging, arbitrage and optimality with superlinear frictions," Papers 1506.05895, arXiv.org.
- Liu, Sheen & Shi, Jian & Wang, Junbo & Wu, Chunchi, 2007. "How much of the corporate bond spread is due to personal taxes?," Journal of Financial Economics, Elsevier, vol. 85(3), pages 599-636, September.
- Frank Milne & Edwin H. Neave, 2003. "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper 1082, Economics Department, Queen's University.
- López, Susana, 2000. "Envelopes for the term structure of interest rates," DEE - Working Papers. Business Economics. WB 9966, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 383-408, June.
- Tokarz, Krzysztof & Zastawniak, Tomasz, 2006. "American contingent claims under small proportional transaction costs," Journal of Mathematical Economics, Elsevier, vol. 43(1), pages 65-85, December.
- Alet Roux & Tomasz Zastawniak, 2006. "A counter-example to an option pricing formula under transaction costs," Finance and Stochastics, Springer, vol. 10(4), pages 575-578, December.
- Teemu Pennanen, 2011. "Arbitrage and deflators in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 57-83, January.
- Bjarne Jensen, 2009. "Valuation before and after tax in the discrete time, finite state no arbitrage model," Annals of Finance, Springer, vol. 5(1), pages 91-123, January.
- Ioannides, Michalis, 2003. "A comparison of yield curve estimation techniques using UK data," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 1-26, January.
- Baccara, Mariagiovanna & Battauz, Anna & Ortu, Fulvio, 2006. "Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 55-79, January.
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