European 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
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Type: BOOK - Published: 2006 - Publisher:
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The paper is devoted to optimal superreplication of European options in the discrete setting under proportional transaction costs on the underlying asset. In pa
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Type: BOOK - Published: 2010 - Publisher:
In this paper we provide a systematic treatment of the utility based option pricing and hedging approach in markets with both fixed and proportional transaction
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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: 63
Pages: 63
Type: BOOK - Published: 2005 - Publisher:
In this paper, we study the problem of European Option Pricing in a market with short-selling constraints and transaction costs having a very general form. We c
