THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS

DOI10.1142/S0219024908004725zbMath1153.91470MaRDI QIDQ3520393

Yuan-Chung Sheu, Guan-Yu Chen, Kenneth James Palmer

Publication date: 26 August 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (5)

American and Bermudan options in currency markets with proportional transaction costs ⋮ Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions

Cites Work

• The Pricing of Options and Corporate Liabilities
• Derivative asset pricing with transaction costs: an extension
• Option pricing and replication with transaction costs and dividends
• Option Pricing in Discrete-Time Incomplete Market Models
• A Note on the Boyle–Vorst Discrete‐Time Option Pricing Model with Transactions Costs
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• European Option Pricing with Transaction Costs

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