Expected vs. real transaction costs in European option pricing

DOI10.3934/DCDSS.2022063MaRDI QIDQ6105350zbMATH OpenOpenAlexFDO

Authors Antonio Attalienti, Michele Bufalo

Publication date 26 June 2023

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdss.2022063

zbMATH Keywords

incomplete marketsmartingale measuresoption pricing formulastransaction costs

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A new explicit formula for the solution of the Black-Merton-Scholes equation
• A semigroup approach to generalized Black-Scholes type equations in incomplete markets
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• An example of indifference prices under exponential preferences
• Asymptotic theory of transaction costs
• Changes of numéraire, changes of probability measure and option pricing
• Consistent price systems and face-lifting pricing under transaction costs
• European Option Pricing with Transaction Costs
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Option pricing and hedging with small transaction costs
• Option pricing formulas under a change of numèraire
• Stochastic calculus for finance. I: The binomial asset pricing model.
• Stochastic calculus for finance. II: Continuous-time models.
• The fundamental theorem of asset pricing under transaction costs
• The pricing of options and corporate liabilities

Cited in

(2)

• European option pricing with transaction costs.
• European Option Pricing with Transaction Costs

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