Option pricing in the CRR model with proportional transaction costs: a cone transformation approach
Stettner, Ł.
Applicationes Mathematicae, Tome 24 (1997), p. 475-514 / Harvested from The Polish Digital Mathematics Library
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Option pricing in the Cox-Ross-Rubinstein model with transaction costs is studied. Using a cone transformation approach a complete characterization of perfectly hedged options is given.

Publié le : 1997-01-01
EUDML-ID : urn:eudml:doc:219187 
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     year = {1997},
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Stettner, Ł. Option pricing in the CRR model with proportional transaction costs: a cone transformation approach. Applicationes Mathematicae, Tome 24 (1997) pp. 475-514. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-zmv24i4p475bwm/

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