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| Tekijä: | Jouini, E. Koehl, P-F. Touzi, N. |
| Otsikko: | Incomplete markets, transaction costs and liquidity effects |
| Lehti: | European Journal of Finance
1997 : DEC, VOL. 3:4, p. 325-347 |
| Asiasana: | MARKETS CONTINGENT CLAIMS TRANSACTION COSTS LIQUIDITY |
| Kieli: | eng |
| Tiivistelmä: | This article proves that the optimal strategy for an investor faced with transaction costs and market incompleteness is not to trade in an asset subject to transaction costs. This is an agreement with empirical evidence which shows much higher trading volumes on contingent claims than in primitive assets ones. The model allows for a bid-ask spread for the contingent claim. The absence of transaction costs o the contingent claim can be seen as a limit case of the real situation on the market: in practice transaction costs on primitive assets are higher than those on contingent claims ones. |
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