Call option pricing and replication under economic friction

DOI10.1016/S0377-2217(97)00128-8zbMATH Open0952.91025OpenAlexW2081558340WikidataQ126656848 ScholiaQ126656848MaRDI QIDQ1296020FDOQ1296020

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

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zbMATH Keywords

option pricingfinancial hedgingeconomic frictionmultiple transaction costs

Mathematics Subject Classification ID

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

Cites Work

• Portfolio Selection with Transaction Costs
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Option pricing: A simplified approach
• Title not available (Why is that?)

Cited In (2)

• Transaction costs and option prices
• Title not available (Why is that?)

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