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Can the Black-Scholes-Merton Model Survive under Transaction Costs? An Affirmative Answer
34/34 checkable references clean · checked 2026-08-24
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
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The 34 checked references that resolve
resolves10.1111/j.1540-6261.1991.tb03775.x
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
resolves10.1111/j.1467-9965.1992.tb00039.x
DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>
resolves10.1287/mnsc.25.11.1127
Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
resolves10.3386/w16302
Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
resolves10.1016/s0165-1889(01)00047-1
Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs
resolves10.1093/rof/rfl001
Stochastic Dominance Bounds on American Option Prices in Markets with Frictions
resolves10.1007/s007800050066
Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
resolves10.1111/1467-9965.00118
Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
resolves10.1111/j.1540-6261.1985.tb02372.x
Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach
resolves10.3905/jod.2002.319177
Competing Methods for Option Hedging in the Presence of Transaction Costs
resolves10.1057/gpp.1989.21
On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance
resolves10.2139/ssrn.891490
Stochastic Dominance and Option Pricing in Discrete and Continuous Time: An Alternative Paradigm
resolves10.1086/296319
Option Bounds in Discrete Time: Extensions and the Pricing of the American Put
resolves10.1016/s0165-1889(99)00086-x
Option pricing and replication with transaction costs and dividends
resolves10.1214/aoap/1177004767
There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs
resolves10.1016/j.jedc.2004.11.002
European option pricing and hedging with both fixed and proportional transaction costs
The 6 references without a DOI — listed, not checked
no DOI — not checkedref1
no DOI — not checkedThe Writing Price of a European Contingent Claim under Proportional Transaction Costs
no DOI — not checkedOptimal Replication of Contingent Claims under Transaction Costs
no DOI — not checkedThe Equity Premium: It's Still a Puzzle
no DOI — not checkedPreference-free Option Prices when the Stock Return Can Go Up, Go Down, or Stay the Same
no DOI — not checkedref40
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