Expected vs. real transaction costs in European option pricing

DOI10.3934/dcdss.2022063zbMath1519.91253MaRDI QIDQ6105350

Michele Bufalo, Antonio Attalienti

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 markets; transaction costs; martingale measures; option pricing formulas

Mathematics Subject Classification ID

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

60G46: Martingales and classical analysis

Cites Work

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