On option pricing in binomial market with transaction costs
type: Item
instance of: scholarly article
title: On option pricing in binomial market with transaction costs
zbMATH Open document ID: 1060.62121
author: Alexander Melnikov
author: Yury G. Petrachenko
published in: Finance and Stochastics
publication date: 2005-05-20T00:00:00Z
review text: The paper is devoted to the study of effects of transaction costs on option pricing in the framework of a binomial financial market. First, a binomial financial market with transaction costs and different credit and deposit rates is introduced. Self-financing conditions and contingent claims are discussed. Then, existence, uniqueness, and an explicit form of a replicating self-financing strategy are investigated. A numerical example is given to illustrate the results.
reviewed by: Yuliya S. Mishura
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 2169558
zbMATH Keywords: binomial market
zbMATH Keywords: transaction costs
zbMATH Keywords: contingent claim
zbMATH Keywords: option replication
zbMATH Keywords: self-financing conditions
MaRDI profile type: Publication
full work available at URL: s00780-004-0134-7
OpenAlex ID: W1986200358
DOI: 10.1007/S00780-004-0134-7
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description: scientific article; zbMATH DE number 2169558