Structuring an option to facilitate replication with transaction costs

DOI10.1016/0165-1765(89)90196-1zbMath1375.91229OpenAlexW2045973202MaRDI QIDQ1676613

Sherrill Shaffer

Publication date: 9 November 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(89)90196-1

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities

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