European option pricing and hedging with both fixed and proportional transaction costs
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- Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
- Leland, Hayne E, 1985.
" Option Pricing and Replication with Transactions Costs,"
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American Finance Association, vol. 40(5), pages 1283-1301, December.
- Hayne E. Leland., 1984. "Option Pricing and Replication with Transactions Costs," Research Program in Finance Working Papers 144, University of California at Berkeley.
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
- Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
- Benjamin Mohamed, 1994. "Simulations of transaction costs and optimal rehedging," Applied Mathematical Finance, Taylor & Francis Journals, vol. 1(1), pages 49-62.
- (*), Thaleia Zariphopoulou & George M. Constantinides, 1999. "Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences," Finance and Stochastics, Springer, vol. 3(3), pages 345-369.
- George M. Constantinides & Thaleia Zariphopoulou, "undated". "Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences," CRSP working papers 347, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- He, Hua, 1990. "Convergence from Discrete- to Continuous-Time Contingent Claims Prices," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 523-546.
- Hua He., 1990. "Convergence from Discrete to Continuous Time Contingent Claims Prices," Research Program in Finance Working Papers RPF-199, University of California at Berkeley.
- Clewlow, Les & Hodges, Stewart, 1997. "Optimal delta-hedging under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1353-1376, June.
- Ralf Korn, 1998. "Portfolio optimisation with strictly positive transaction costs and impulse control," Finance and Stochastics, Springer, vol. 2(2), pages 85-114.
- 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 637-654, May-June.
- B. Bouchard & Yu. M. Kabanov & N. Touzi, 2001. "Option pricing by large risk aversion utility¶under transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 24(2), pages 127-136, November.
- A. E. Whalley & P. Wilmott, 1997. "An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 7(3), pages 307-324.
- repec:dau:papers:123456789/1800 is not listed on IDEAS
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September. Full references (including those not matched with items on IDEAS)
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