The least cost superreplicating portfolio for short puts and calls in the Boyle-Vorst model with transaction costs

zbMATH Open1145.91342MaRDI QIDQ3528548FDOQ3528548

Authors: Guan-Yu Chen, Yuan-Chung Sheu, Kenneth Palmer 

Publication date: 17 October 2008

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Mathematics Subject Classification ID

Cited In (3)

• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• A note on the Boyle-Vorst discrete-time option pricing model with transactions costs.
• THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS

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