Option pricing in discrete-time incomplete market models (Q2707152)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing in discrete-time incomplete market models |
scientific article |
Statements
29 March 2001
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martingale measure
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hedging
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transaction costs
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utility function
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Option pricing in discrete-time incomplete market models (English)
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The author discusses the various aspects of pricing of contingent claims in discrete time for incomplete market models. A number of theorems are established for pricing with proportional transaction costs. Some results of concave transaction costs are also shown. No numerical experimentations are presented.
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