On reset option pricing in binomial market with both fixed and proportional transaction costs

DOI10.1016/J.AMC.2007.03.042zbMath1193.91160OpenAlexW2093594381MaRDI QIDQ990579

Jing-Yang Yang, Chao Sun, Sheng-Hong Li

Publication date: 1 September 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.03.042

zbMATH Keywords

transaction costMarkov chain approximationstochastic impulse controlfrictional marketreset option

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The writing price of a European contingent claim under proportional transaction costs
• Optimal delta-hedging under transactions costs
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• European Option Pricing with Transaction Costs
• Simulations of transaction costs and optimal rehedging

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