A Convexity Approach to Option Pricing with Transaction Costs in Discrete Models

DOI10.1007/978-3-0348-0097-6_17zbMath1246.91123OpenAlexW145507118MaRDI QIDQ2909988

Shuenn-Jyi Sheu, Tzuu-Shuh Chiang

Publication date: 7 September 2012

Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0097-6_17

zbMATH Keywords

transaction coststrinomial model(unique)optimal replicating portfoliosuper(perfect) replication

Mathematics Subject Classification ID

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

Related Items (1)

Optimal hedging in an extended binomial market under transaction costs

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