Foreign currency option pricing with proportional transaction costs

DOI10.1007/S11766-006-0002-7zbMath1204.91128OpenAlexW2004913982MaRDI QIDQ621866

Shujin Li, Sheng-Hong Li

Publication date: 29 January 2011

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-006-0002-7

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
• A closed-form solution to the problem of super-replication under transaction costs
• 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
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• European Option Pricing with Transaction Costs

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