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Article Dans Une Revue Stochastic Processes and their Applications Année : 2022

Simple Bounds for Transaction Costs

Résumé

Using elementary arguments, we derive Lp-error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. For utilities with bounded risk aversion, these estimates yield lower bounds for the frictional value function, which paves the way for its asymptotic analysis using stability results for viscosity solutions. Using tools from Malliavin calculus, we also derive simple sufficient conditions for the regularity of frictionless optimal trading strategies, the second main ingredient for the asymptotic analysis of small transaction costs.
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Dates et versions

hal-01711371 , version 1 (17-02-2018)

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Citer

Bruno Bouchard, Johannes Muhle-Karbe. Simple Bounds for Transaction Costs. Stochastic Processes and their Applications, 2022, 146, pp.98-113. ⟨10.1016/j.spa.2022.01.008⟩. ⟨hal-01711371⟩
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