Optimality of replication in the CRR model with transaction costs (Q4386249)
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scientific article; zbMATH DE number 1146155
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimality of replication in the CRR model with transaction costs |
scientific article; zbMATH DE number 1146155 |
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Optimality of replication in the CRR model with transaction costs (English)
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27 June 1999
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arbitrage pricing
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imperfect markets
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European claims
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multiplicative binomial model
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proportional transaction costs
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