Hedging of the European option in a discrete time financial market with proportional transaction costs is considered. It is shown that for a certain class of options the set of portfolios which allow the seller to pay the claim of the buyer in quite a general discrete time market model is the same as the set of such portfolios under the assumption that the stock price movement is given by a suitable CRR model.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am37-2-5,
author = {Marek Andrzej Koci\'nski},
title = {Hedging of the European option in discrete time under transaction costs depending on time},
journal = {Applicationes Mathematicae},
volume = {37},
year = {2010},
pages = {201-214},
zbl = {1192.91181},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am37-2-5}
}
Marek Andrzej Kociński. Hedging of the European option in discrete time under transaction costs depending on time. Applicationes Mathematicae, Tome 37 (2010) pp. 201-214. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am37-2-5/