2 papers
q-fin.RM2026
Storage Options and Endogenous Commodity Prices in Continuous Time
Nader Karimi, Erfan Salavati, Hojatollah Adibi
We study the price formation of a storable commodity when the decision to sell or keep the commodity is treated as an embedded storage option. The price process is not imposed exog…
q-fin.PM2025
Functionally Generated Portfolios Under Stochastic Transaction Costs: Theory and Empirical Evidence
Nader Karimi, Erfan Salavati
Assuming frictionless trading, classical stochastic portfolio theory (SPT) provides relative arbitrage strategies. However, the costs associated with real-world execution are state…