Hedging of the European option in discrete time under proportional transaction costs
The author studies a slightly more general model of stock price movements than that of Cox-Ross-Rubinstein (CRR). After having proved several technical lemmas, he succeeds to demonstrate that for a class of options including a standard European call option, the set of portfolios which allow to hedge the option is the same as in the CRR model. However, not all notions used in the paper are explained, including even the concept of hedging of an option, so that some potential readers may feel discouraged to go further into details and may quit reading of this paper.
scientific article; zbMATH DE number 2133467