On reset option pricing in binomial market with both fixed and proportional transaction costs
type: Item
instance of: scholarly article
title: On reset option pricing in binomial market with both fixed and proportional transaction costs
zbMATH Open document ID: 1193.91160
author: Chao Sun
author: Jing-Yang Yang
author: Shenghong Li
published in: Applied Mathematics and Computation
publication date: 2010-09-01T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 5777054
zbMATH Keywords: reset option
zbMATH Keywords: transaction cost
zbMATH Keywords: Markov chain approximation
zbMATH Keywords: frictional market
zbMATH Keywords: stochastic impulse control
MaRDI profile type: Publication
full work available at URL: j.amc.2007.03.042
OpenAlex ID: W2093594381
cites work: Optimal delta-hedging under transactions costs
cites work: Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
cites work: European Option Pricing with Transaction Costs
cites work: The writing price of a European contingent claim under proportional transaction costs
cites work: Q4218383
cites work: Simulations of transaction costs and optimal rehedging
cites work: Q4350437
cites work: Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
cites work: Q4224351
DOI: 10.1016/J.AMC.2007.03.042
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description: scientific article; zbMATH DE number 5777054