An endogenous volatility approach to pricing and hedging call options with transaction costs

DOI10.1080/14697688.2011.639794zbMath1281.91168OpenAlexW2091366702MaRDI QIDQ5397412

William T. Ziemba, Leonard C. MacLean, Yonggan Zhao

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2011.639794

zbMATH Keywords

option pricingBlack-Scholes modelimplied volatilitieshedging errors

Mathematics Subject Classification ID

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• On Leland's strategy of option pricing with transactions costs
• Option replication with transaction costs: general diffusion limits
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• A note on super-replicating strategies
• Option pricing: A simplified approach

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