A counter-example to an option pricing formula under transaction costs

DOI10.1007/S00780-006-0016-2zbMath1126.91035OpenAlexW2081438961MaRDI QIDQ881422

Alet Roux, Zastawniak, Tomasz

Publication date: 29 May 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0016-2

zbMATH Keywords

superreplicationoption pricingtransaction costsarbitragereplication

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Utility maximization in markets with bid–ask spreads ⋮ Numeraire portfolios and utility-based price systems under proportional transaction costs

Cites Work

• American contingent claims under small proportional transaction costs
• Hedging of the European option in discrete time under proportional transaction costs
• On option pricing in binomial market with transaction costs
• Option Pricing in Discrete-Time Incomplete Market Models
• A Note on the Boyle–Vorst Discrete‐Time Option Pricing Model with Transactions Costs
• Hedging in discrete time under transaction costs and continuous-time limit
• Cash Stream Valuation In the Face of Transaction Costs and Taxes
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Option pricing in the CRR model with proportional transaction costs: a cone transformation approach
• Optimality of replication in the CRR model with transaction costs

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