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Pricing of the American option in discrete time under proportional transaction costs

✍ Scribed by Marek Kociński


Publisher
Springer
Year
2001
Tongue
English
Weight
180 KB
Volume
53
Category
Article
ISSN
0340-9422

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Scaling and long-range dependence in opt
✍ Xiao-Tian Wang; En-Hui Zhu; Ming-Ming Tang; Hai-Gang Yan 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 438 KB

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