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

DOI10.1016/J.AMC.2007.03.042MaRDI QIDQ990579zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1222796 (Why is no real title available?)
• scientific article; zbMATH DE number 1238161 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• European Option Pricing with Transaction Costs
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Optimal delta-hedging under transactions costs
• Simulations of transaction costs and optimal rehedging
• The writing price of a European contingent claim under proportional transaction costs

Cited in

(2)

• scientific article; zbMATH DE number 5811804 (Why is no real title available?)
• On option pricing in binomial market with transaction costs

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