Simulations of transaction costs and optimal rehedging

DOI10.1080/13504869400000003MaRDI QIDQ4845149zbMATH OpenOpenAlexFDO

Authors Benjamin Mohamed

Publication date 5 March 1996

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL http://www.tandf.co.uk/journals/routledge/1350486X.html

zbMATH Keywords

Monte Carlo simulationsproportional transaction costshedging optionsBlack-Scholes environment

Mathematics Subject Classification ID

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Cites work

• European Option Pricing with Transaction Costs
• The pricing of options and corporate liabilities

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• Utility-indifference pricing of European options with proportional transaction costs
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• EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS
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• A note on utility indifference pricing
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• On reset option pricing in binomial market with both fixed and proportional transaction costs

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