Option replication with transaction cost under Knightian uncertainty

DOI10.1016/J.PHYSA.2020.125680OpenAlexW3112612585MaRDI QIDQ2066047

Yanyan Li

Publication date: 13 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2020.125680

zbMATH Keywords

uncertaintyreplicationtransaction costnon-Gaussian option pricingbinomial tree

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Unnamed Item
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