✦ LIBER ✦

Black and Scholes pricing and markets with transaction costs: An example

✍ Scribed by Haim Reisman

Publisher: Springer-Verlag
Year: 2001
Tongue: English
Weight: 44 KB
Volume: 5
Category: Article
ISSN: 0949-2984
DOI: 10.1007/s007800100045

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Option pricing with transaction costs an

Option pricing with transaction costs and a nonlinear Black-Scholes equation

✍ Guy Barles; Halil Mete Soner 📂 Article 📅 1998 🏛 Springer-Verlag 🌐 English ⚖ 262 KB

Discrete–time delta hedging and the Blac

Discrete–time delta hedging and the Black–Scholes model with transaction costs

✍ Miklavž Mastinšek 📂 Article 📅 2006 🏛 Springer 🌐 English ⚖ 121 KB

Scaling and long range dependence in opt

Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model

✍ Xiao-Tian Wang 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 511 KB

Option pricing and replication with tran

Option pricing and replication with transaction costs and dividends

✍ Stylianos Perrakis; Jean Lefoll 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 325 KB

This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of stock returns, for a market maker that establishes bid and ask prices for American call options on stocks paying dividends prior to expiration. It is shown that, while the option h

Scaling and long-range dependence in opt

Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs

✍ Xiao-Tian Wang 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 269 KB

Asset Pricing and Hedging in Financial M

Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model

✍ M. A. H. Dempster; I. V. Evstigneev; M. I. Taksar 📂 Article 📅 2006 🏛 Springer 🌐 English ⚖ 282 KB