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ArticleOriginal scientific text

Title

Option pricing in the CRR model with proportional transaction costs: a cone transformation approach

Authors 1

Affiliations

  1. Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-950 Warszawa, Poland

Abstract

Option pricing in the Cox-Ross-Rubinstein model with transaction costs is studied. Using a cone transformation approach a complete characterization of perfectly hedged options is given.

Keywords

ENG
transaction costs, replicating cost, binomial model, hedging, option

Bibliography

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Applicationes Mathematicae
1996-1997/24/4
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Pages:
475-514
Main language of publication
English
Received
1997-03-17
Accepted
1997-05-12
Published
1997
Exact and natural sciences