scientific article; zbMATH DE number 772619

MaRDI QIDQ4838427zbMATH OpenFDO

Authors Shigeo Kusuoka

Publication date 11 July 1995

Mathematics Subject Classification ID

Economic growth models (91B62)

Recommendations

• Limit theorem on option replication cost with transaction costs
• Option replication with large transactions costs
• Option replication with transaction costs: general diffusion limits
• A convexity approach to option pricing with transaction costs in discrete models

Cited in

(10)

• Option replication with large transactions costs
• Structuring an option to facilitate replication with transaction costs
• Limit theorem on option replication cost with transaction costs
• Option replication with transaction cost under Knightian uncertainty
• A note on the Boyle-Vorst discrete-time option pricing model with transactions costs.
• A convexity approach to option pricing with transaction costs in discrete models
• The least cost superreplicating portfolio for short puts and calls in the Boyle-Vorst model with transaction costs
• Efficient option replication in the presence of transactions costs
• Optimality of replication in the CRR model with transaction costs
• Optimality of the replicating strategy for American options

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