Expected vs. real transaction costs in European option pricing

DOI10.3934/dcdss.2022063zbMath1519.91253OpenAlexW4226325105MaRDI QIDQ6105350

Michele Bufalo, Antonio Attalienti

Publication date: 26 June 2023

Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdss.2022063

zbMATH Keywords

incomplete marketstransaction costsmartingale measuresoption pricing formulas

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Martingales and classical analysis (60G46)

Cites Work

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• Asymptotic theory of transaction costs
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• An example of indifference prices under exponential preferences
• A semigroup approach to generalized Black-Scholes type equations in incomplete markets
• Consistent price systems and face-lifting pricing under transaction costs
• OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS
• Option pricing formulas under a change of numèraire
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• European Option Pricing with Transaction Costs
• Changes of numéraire, changes of probability measure and option pricing

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