A convexity approach to option pricing with transaction costs in discrete models (Q2909988)
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scientific article; zbMATH DE number 6078920
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| default for all languages | No label defined |
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| English | A convexity approach to option pricing with transaction costs in discrete models |
scientific article; zbMATH DE number 6078920 |
Statements
A Convexity Approach to Option Pricing with Transaction Costs in Discrete Models (English)
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7 September 2012
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super(perfect) replication
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(unique)optimal replicating portfolio
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transaction costs
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trinomial model
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0.8612228631973267
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0.8422822952270508
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0.8373821973800659
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