Option pricing in the CRR model with proportional transaction costs: a cone transformation approach

DOI10.4064/am-24-4-475-514zbMath1043.91511OpenAlexW1480942351MaRDI QIDQ4365511

Łukasz Stettner

Publication date: 1997

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/219187

zbMATH Keywords

Cox-Cross-Rubinstein modelperfectly hedged options

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Correlated continuous time random walk and option pricing ⋮ Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis ⋮ American contingent claims under small proportional transaction costs ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ A counter-example to an option pricing formula under transaction costs ⋮ European option pricing with transaction costs in Lévy jump environment ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ Optimal hedging in an extended binomial market under transaction costs

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