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Hedging of the European option in discrete time under proportional transaction costs

✍ Scribed by Marek Kociński

Publisher
Springer
Year
2004
Tongue
English
Weight
327 KB
Volume
59
Category
Article
ISSN
0340-9422

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This paper deals with the problem of discrete-time option pricing by the mixed Brownianfractional Brownian model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option pricing formula is obtained. In particular, the minimal pricing