Replication and shortfall risk in a binomial model with transaction costs

DOI10.1007/S00186-007-0208-3zbMath1159.91382OpenAlexW1998905719MaRDI QIDQ1014287

Barbara Trivellato

Publication date: 27 April 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-007-0208-3

zbMATH Keywords

transaction costsreplicationbinomial modelshortfall risk

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS

Cites Work

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• A Stochastic Control Approach to Risk Management Under Restricted Information
• A Note on the Boyle–Vorst Discrete‐Time Option Pricing Model with Transactions Costs
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Optimality of replication in the CRR model with transaction costs

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