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European option pricing and hedging with both fixed and proportional transaction costs

  • Zakamouline, Valeri I.
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    File URL: http://www.sciencedirect.com/science/article/B6V85-4F37M5H-1/2/534f6c6a93b937297b01ad2dfcd26d31
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 30 (2006)
    Issue (Month): 1 (January)
    Pages: 1-25

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    Handle: RePEc:eee:dyncon:v:30:y:2006:i:1:p:1-25
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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    1. 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.
    2. Ralf Korn, 1998. "Portfolio optimisation with strictly positive transaction costs and impulse control," Finance and Stochastics, Springer, vol. 2(2), pages 85-114.
    3. 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.
    4. Benjamin Mohamed, 1994. "Simulations of transaction costs and optimal rehedging," Applied Mathematical Finance, Taylor & Francis Journals, vol. 1(1), pages 49-62.
    5. 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.
    6. 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.
    7. Hayne E. Leland., 1984. "Option Pricing and Replication with Transactions Costs," Research Program in Finance Working Papers 144, University of California at Berkeley.
    8. (*), 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.
    9. 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.
    10. B. Bouchard & Yu. M. Kabanov & N. Touzi, 2001. "Option pricing by large risk aversion utility¶under transaction costs," Decisions in Economics and Finance, Springer, vol. 24(2), pages 127-136, November.
    11. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
    12. 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.
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