Option Pricing in Discrete-Time Incomplete Market Models

DOI10.1111/1467-9965.00096zbMath1016.91050OpenAlexW1989078713MaRDI QIDQ2707152

Łukasz Stettner

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00096

zbMATH Keywords

hedgingtransaction costsutility functionmartingale measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (8)

American contingent claims under small proportional transaction costs ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ A counter-example to an option pricing formula under transaction costs ⋮ THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS ⋮ Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions ⋮ Convex hedging of non-superreplicable claims in discrete-time market models ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS

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