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A counter-example to an option pricing formula under transaction costs

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  • Alet Roux
  • Tomasz Zastawniak

Abstract

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Suggested Citation

  • Alet Roux & Tomasz Zastawniak, 2006. "A counter-example to an option pricing formula under transaction costs," Finance and Stochastics, Springer, vol. 10(4), pages 575-578, December.
    • Handle: RePEc:spr:finsto:v:10:y:2006:i:4:p:575-578
    DOI: 10.1007/s00780-006-0016-2
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    References listed on IDEAS

    as
    1. Lukasz Stettner, 2000. "Option Pricing in Discrete‐Time Incomplete Market Models," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 305-321, April.
    2. Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1991. "Cash Stream Valuation In the Face of Transaction Costs and Taxes," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 31-54, January.
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    Cited by:

    1. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, September.
    2. Jörn Sass & Manfred Schäl, 2014. "Numeraire portfolios and utility-based price systems under proportional transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 195-234, October.

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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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