On option pricing in binomial market with transaction costs (Q1776033)
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scientific article; zbMATH DE number 2169558
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On option pricing in binomial market with transaction costs |
scientific article; zbMATH DE number 2169558 |
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On option pricing in binomial market with transaction costs (English)
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20 May 2005
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The paper is devoted to the study of effects of transaction costs on option pricing in the framework of a binomial financial market. First, a binomial financial market with transaction costs and different credit and deposit rates is introduced. Self-financing conditions and contingent claims are discussed. Then, existence, uniqueness, and an explicit form of a replicating self-financing strategy are investigated. A numerical example is given to illustrate the results.
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binomial market
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transaction costs
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contingent claim
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option replication
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self-financing conditions
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0.94464785
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0.93509567
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0.92334044
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0.92304045
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0.9191781
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0.9148032
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0.91410035
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