Publications
Preprint · SSRN Electronic Journal · January 1, 2016
Online Appendix: Portfolio Selection with Transaction Costs and Jump Diffusion Asset Dynamics I and II
Michal Czerwonko, Stylianos Perrakis
Stochastic processes and financial applicationsRisk and Portfolio OptimizationFinancial Markets and Investment Strategiesportfolio optimizationtransaction costsjump diffusion
More by Michal Czerwonko
- Market Structure, Trading Frictions, and the Profitability of Market Making in Index OptionsSSRN Electronic Journal · 2025
- Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A ReplyCritical Finance Review · 2021 · Citations: 1
- Tail Risk, Almost Stochastic Dominance and Index Option AnomaliesSSRN Electronic Journal · 2021
- Mispriced index option portfoliosFinancial Management · 2019 · Citations: 25