Black and Scholes pricing and markets with transaction costs: An example
The paper shows that in the presence of transaction costs, there exists a viable price system in which prices of call options are arbitrarily close to the price of the stock. The construction of such an example is possible no matter how small the volatility of the stock or how small the transaction costs.
Volume (Year): 5 (2001)
Issue (Month): 4 ()
|Note:||received: June 2000; final version received: January 2001|
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