On barrier option pricing in binomial market with transaction costs

DOI10.1016/j.amc.2006.12.028zbMath1243.91109OpenAlexW1967819996MaRDI QIDQ2383667

Chao Sun, Jing-Yang Yang, Sheng-Hong Li

Publication date: 19 September 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.12.028

zbMATH Keywords

transaction costMarkov chain approximationBarrier optionfrictional marketsingular stochastic optimal control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (1)

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Cites Work

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• Option pricing with transaction costs using a Markov chain approximation
• A closed-form solution to the problem of super-replication under transaction costs
• Option pricing by large risk aversion utility under transaction costs
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• European Option Pricing with Transaction Costs

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