Option replication with transaction costs: general diffusion limits
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Publication:1296601
DOI10.1214/aoap/1028903447zbMath0934.91024MaRDI QIDQ1296601
E. R. Grannan, G. H. Swindle, Hyungsok Ahn, Mohit Dayal
Publication date: 23 November 1999
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1028903447
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
- DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
- European Option Pricing with Transaction Costs
- Option pricing: A simplified approach
- Portfolio Selection with Transaction Costs
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