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Risk minimization in the model with transaction costs

100%

Motoczyński M.

Applicationes Mathematicae

2003

tom 30

nr 2

209-216

The problem of hedging a contingent claim with minimization of quadratic risk is studied. Existence of an optimal strategy for the model with proportional transaction cost and nondelayed observation is shown.

On option pricing in the multidimensional Cox-Ross-Rubinstein model

63%

Motoczyński M., Stettner Ł.

Applicationes Mathematicae

1998-1999

tom 25

nr 1

55-72

Option pricing in the multidimensional case, i.e. when the contingent claim paid at maturity depends on a number of risky assets, is considered. It is assumed that the prices of the risky assets are in discrete time subject to binomial disturbances. Two approaches to option pricing are studied: geometric and analytic. A numerical example is also given.

Ograniczanie wyników

2 Applicationes Mathematicae

2 Motoczyński M.

1 Stettner Ł.

1 2003

1 1998

Wyniki wyszukiwania

Risk minimization in the model with transaction costs

On option pricing in the multidimensional Cox-Ross-Rubinstein model