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

100%

Stettner Ł.

Applicationes Mathematicae

1996-1997

tom 24

nr 4

475-514

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.

Invariant measures of the pair: state, approximate filtering process

100%

Stettner Ł.

Colloquium Mathematicum

1991

tom 62

nr 2

347-351

On additive and multiplicative (controlled) Poisson equations

63%

Di Masi G., Stettner Ł.

Banach Center Publications

2006

tom 72

nr 1

57-70

Assuming that a Markov process satisfies the minorization property, existence and properties of the solutions to the additive and multiplicative Poisson equations are studied using splitting techniques. The problem is then extended to the study of risk sensitive and risk neutral control problems and corresponding Bellman equations.

Ograniczanie wyników

1 Applicationes Mathematicae

1 Banach Center Publications

1 Colloquium Mathematicum

3 Stettner Ł.

1 Di Masi G.

1 2006

1 1997

1 1991

Wyniki wyszukiwania

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

Invariant measures of the pair: state, approximate filtering process

On additive and multiplicative (controlled) Poisson equations