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On the Hoggard–Whalley–Wilmott Equation for the Pricing of Options with Transaction Costs

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Author Info
Hitoshi Imai ()
Naoyuki Ishimura ()
Ikumi Mottate ()
Masaaki Nakamura ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s10690-007-9047-8
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Publisher Info
Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 13 (2006)
Issue (Month): 4 (December)
Pages: 315-326
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:apfinm:v:13:y:2006:i:4:p:315-326

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Web page: http://springerlink.metapress.com/link.asp?id=102851

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Transaction costs; Hoggard–Whalley–Wilmott model; Nonlinear partial differential equations; 91B28; 35K15;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. A.E. Whalley & P. Wilmott, 1999. "Optimal Hedging of Options with Small but Arbitrary Transaction Cost Structure," OFRC Working Papers Series 1999mf09, Oxford Financial Research Centre. [Downloadable!]
  2. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring. [Downloadable!] (restricted)
  3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  4. Boyle, Phelim P & Vorst, Ton, 1992. " Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, vol. 47(1), pages 271-93, March. [Downloadable!] (restricted)
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This page was last updated on 2009-12-4.

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