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

• Autorzy: Ł. Stettner
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

transaction costs; replicating cost; binomial model; hedging; option

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 1996-1997
• Tom: 24
• Numer: 4
• Strony: 475-514

Daty

wydano

1997

otrzymano

1997-03-17

poprawiono

1997-05-12

Twórcy

autor

Ł. Stettner

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

Bibliografia

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