On reset option pricing in binomial market with both fixed and proportional transaction costs

DOI10.1016/J.AMC.2007.03.042zbMATH Open1193.91160OpenAlexW2093594381MaRDI QIDQ990579FDOQ990579

Authors: Chao Sun, Jing-Yang Yang, Shenghong Li 

Publication date: 1 September 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.03.042

Recommendations

• On option pricing in binomial market with transaction costs
• The reset option pricing in jump-diffusion models
• On barrier option pricing in binomial market with transaction costs
• Computation of reservation prices of options with proportional transaction costs
• Reset option pricing in bi-fractional Vasicek rate environment
• On pricing model of the reset option with \(N\) predetermined levels
• Pricing reset options in asymmetric double exponential jump-diffusion models
• European option pricing and hedging with both fixed and proportional transaction costs
• Pricing a European Basket Option in the Presence of Proportional Transaction Costs
• Option pricing with transaction costs and stochastic volatility

zbMATH Keywords

transaction costMarkov chain approximationstochastic impulse controlfrictional marketreset option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cites Work

• Title not available (Why is that?)
• European Option Pricing with Transaction Costs
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Optimal delta-hedging under transactions costs
• Title not available (Why is that?)
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• Title not available (Why is that?)
• The writing price of a European contingent claim under proportional transaction costs
• Simulations of transaction costs and optimal rehedging

Cited In (2)

• Title not available (Why is that?)
• On option pricing in binomial market with transaction costs

This page was built for publication: On reset option pricing in binomial market with both fixed and proportional transaction costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q990579)