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SIAMCO
2002
14 years 10 months ago
2002
We consider a market model with one riskfree and one risky asset, in which the dynamics of the risky asset is governed by a geometric Brownian motion. In this market we consider a...
ANOR
2005
14 years 10 months ago
2005
In this paper we consider a finite-state financial market with non-proportional transaction cost and bid-ask spreads. The transaction cost consists of two parts: a fixed cost and a...