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Computing option pricing models under transaction costs

✍ Scribed by R. Company; L. Jódar; J.-R. Pintos; M.-D. Roselló

Book ID: 108077479
Publisher: Elsevier Science
Year: 2010
Tongue: English
Weight: 654 KB
Volume: 59
Category: Article
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2009.10.028

No coin nor oath required. For personal study only.

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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