Derivative asset pricing with transaction costs: an extension

DOI10.1023/A:1008693830990MaRDI QIDQ1372903zbMATH OpenFDO

Authors Stylianos Perrakis, Jean Lefoll

Publication date 4 November 1997

Published in Computational Economics (Search for Journal in Brave)

zbMATH Keywords

replicationtransaction costsderivativesoptimal perfect hedgingSwiss options market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(17)

• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• A comparison of techniques for dynamic multivariate risk measures
• Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
• American and Bermudan options in currency markets with proportional transaction costs
• The American put under transactions costs
• Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities
• Game options with gradual exercise and cancellation under proportional transaction costs
• Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
• American contingent claims under small proportional transaction costs
• Option pricing and replication with transaction costs and dividends
• Optimal hedging in an extended binomial market under transaction costs
• An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
• Scalar multivariate risk measures with a single eligible asset
• THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS
• Testing affine term structure models in case of transaction costs
• UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹

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