European And American Options Under Proportional Transaction Costs
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European and American Options Under Proportional Transaction Costs
| Author | : |
| Publisher | : |
| Total Pages | : 179 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
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Language: en
Pages: 179
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Type: BOOK - Published: 2006 - Publisher:
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Type: BOOK - Published: 2006 - Publisher:
The paper is devoted to optimal superreplication of European options in the discrete setting under proportional transaction costs on the underlying asset. In pa
Language: en
Pages: 0
Pages: 0
Type: BOOK - Published: 2008-10 - Publisher: VDM Publishing
This book is aimed at researchers and PhD students in mathematical finance. It studies the pricing and hedging of options in financial markets with proportiona
Language: en
Pages: 24
Pages: 24
Type: BOOK - Published: 2007 - Publisher:
American options are priced and hedged in a general discrete market in the presence of arbitrary proportional transaction costs inherent in trading the underlyi
Language: en
Pages: 306
Pages: 306
Type: BOOK - Published: 2009-12-04 - Publisher: Springer Science & Business Media
The book is the first monograph on this highly important subject.
