Timing the Market with a Combination of Moving Averages
نویسندگان
چکیده
منابع مشابه
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1.1. Overview. It is well known (see Soner, Shreve and Cvitanić [8], Levental and Skorokhod [6], Cherny [2]) that in the Black–Scholes–Merton model with proportional transaction costs the superreplication price of a European call option is equal to its trivial upper bound. The same is true for any European type contingent claim in this model (see Cvitanić, Pham and Touzi [3]). In the recent pap...
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ژورنال
عنوان ژورنال: International Review of Finance
سال: 2016
ISSN: 1369-412X
DOI: 10.1111/irfi.12107