Call option pricing and replication under economic friction

DOI10.1016/S0377-2217(97)00128-8MaRDI QIDQ1296020zbMATH OpenOpenAlexWikidataFDO

Authors Ralf Östermark

Publication date 11 July 1999

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0377-2217(97)00128-8

zbMATH Keywords

option pricingfinancial hedgingeconomic frictionmultiple transaction costs

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50)

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Cites work

• scientific article; zbMATH DE number 3187034 (Why is no real title available?)
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Option pricing: A simplified approach
• Portfolio Selection with Transaction Costs

Cited in

(2)

• Transaction costs and option prices
• scientific article; zbMATH DE number 1254193 (Why is no real title available?)

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