Option pricing in discrete-time incomplete market models (Q2707152)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Option pricing in discrete-time incomplete market models |
scientific article; zbMATH DE number 1582858
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Option pricing in discrete-time incomplete market models |
scientific article; zbMATH DE number 1582858 |
Statements
29 March 2001
0 references
martingale measure
0 references
hedging
0 references
transaction costs
0 references
utility function
0 references
Option pricing in discrete-time incomplete market models (English)
0 references
The author discusses the various aspects of pricing of contingent claims in discrete time for incomplete market models. A number of theorems are established for pricing with proportional transaction costs. Some results of concave transaction costs are also shown. No numerical experimentations are presented.
0 references
0.7804032564163208
0 references
0.7759457230567932
0 references
0.7483517527580261
0 references
0.747238278388977
0 references
0.7388849258422852
0 references
