On option pricing in binomial market with transaction costs

DOI10.1007/s00780-004-0134-7zbMath1060.62121OpenAlexW1986200358MaRDI QIDQ1776033

Yury G. Petrachenko, Alexander V. Melnikov

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0134-7

zbMATH Keywords

transaction costsoption replicationcontingent claimbinomial marketself-financing conditions

Mathematics Subject Classification ID

Related Items (7)

Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis ⋮ American contingent claims under small proportional transaction costs ⋮ A counter-example to an option pricing formula under transaction costs ⋮ CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs ⋮ Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions ⋮ Utility maximization in markets with bid–ask spreads ⋮ Replication and shortfall risk in a binomial model with transaction costs

This page was built for publication: On option pricing in binomial market with transaction costs