An endogenous volatility approach to pricing and hedging call options with transaction costs (Q5397412): Difference between revisions

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+https://doi.org/10.1080/14697688.2011.639794
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+W2091366702
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+Option replication with transaction costs: general diffusion limits
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+The Pricing of Options and Corporate Liabilities
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+Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
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+Option pricing: A simplified approach
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+A note on super-replicating strategies
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+MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
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+On Leland's strategy of option pricing with transactions costs
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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