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Option pricing with transaction costs using a Markov chain approximation

✍ Scribed by Michael Monoyios

Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 339 KB
Volume: 28
Category: Article
ISSN: 0165-1889
DOI: 10.1016/s0165-1889(03)00059-9

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✦ Synopsis

An e cient algorithm is developed to price European options in the presence of proportional transaction costs, using the optimal portfolio framework of Davis (in: Dempster, M.A.H., Pliska, S.R. (Eds.), Mathematics of

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