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Expected vs. real transaction costs in European option pricing - MaRDI portal

Expected vs. real transaction costs in European option pricing (Q6105350)

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scientific article; zbMATH DE number 7702064
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English
Expected vs. real transaction costs in European option pricing
scientific article; zbMATH DE number 7702064

    Statements

    title
    Expected vs. real transaction costs in European option pricing (English)
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    author
    Antonio Attalienti
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    Michele Bufalo
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    publication date
    26 June 2023
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    zbMATH Keywords
    transaction costs
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    option pricing formulas
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    martingale measures
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    incomplete markets
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G30
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    60G46
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    zbMATH DE Number
    7702064
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    OpenAlex ID
    W4226325105
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    DOI
    10.3934/DCDSS.2022063
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