Call option pricing and replication under economic friction
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- Y. M. Kabanov & M. Safarian, 1995.
"On Leland's Strategy of Option Pricing with Transaction Costs,"
SFB 373 Discussion Papers
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- Bhattacharya, Mihir, 1980. "Empirical Properties of the Black-Scholes Formula Under Ideal Conditions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(05), pages 1081-1105, December.
- Constantinides, George M, 1986.
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- Beckers, Stan, 1980. " The Constant Elasticity of Variance Model and Its Implications for Option Pricing," Journal of Finance, American Finance Association, vol. 35(3), pages 661-73, June.
- Rendleman, Richard J, Jr & Bartter, Brit J, 1979. "Two-State Option Pricing," Journal of Finance, American Finance Association, vol. 34(5), pages 1093-1110, December.
- Galai, Dan, 1977. "Tests of Market Efficiency of the Chicago Board Options Exchange," The Journal of Business, University of Chicago Press, vol. 50(2), pages 167-97, April.
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- Huffman, Gregory W, 1985. " Adjustment Costs and Capital Asset Pricing," Journal of Finance, American Finance Association, vol. 40(3), pages 691-705, July.
- Dumas, Bernard & Luciano, Elisa, 1991. " An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs," Journal of Finance, American Finance Association, vol. 46(2), pages 577-95, June.
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