Option pricing and replication with transaction costs and dividends

DOI10.1016/S0165-1889(99)00086-XzbMath0967.91022MaRDI QIDQ1583143

Jean Lefoll, Stylianos Perrakis

Publication date: 26 October 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

stock pricetransaction costsstock returnsportfolios

Mathematics Subject Classification ID

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

Related Items

American and Bermudan options in currency markets with proportional transaction costs, American contingent claims under small proportional transaction costs, A numerical study of the utility-indifference approach for pricing American options, THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS, The American put under transactions costs, American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions, Discrete dividends and the FTSE-100 index options valuation, Option pricing and replication with transaction costs and dividends

Cites Work

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• Derivative asset pricing with transaction costs: an extension
• Option pricing and replication with transaction costs and dividends
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• European Option Pricing with Transaction Costs
• Option pricing: A simplified approach