There is no nontrivial hedging portfolio for option pricing with transaction costs (Q1901077)
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scientific article; zbMATH DE number 811739
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| English | There is no nontrivial hedging portfolio for option pricing with transaction costs |
scientific article; zbMATH DE number 811739 |
Statements
There is no nontrivial hedging portfolio for option pricing with transaction costs (English)
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12 May 1996
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European call
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Black-Scholes model
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0.8904701471328735
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0.8469911813735962
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0.8453800082206726
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0.8453799486160278
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0.8375946283340454
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