European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs
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References listed on IDEAS
- 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.
- Dermody, Jaime Cuevas & Prisman, Eliezer Z., 1993. "No Arbitrage and Valuation in Markets with Realistic Transaction Costs," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 65-80, March.
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More about this item
Keywordsoption pricing; transaction costs; stochastic control; Markov chain approximation;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-11-23 (All new papers)
- NEP-CFN-2003-11-23 (Corporate Finance)
- NEP-EEC-2003-11-23 (European Economics)
- NEP-FIN-2003-11-23 (Finance)
- NEP-RMG-2003-11-23 (Risk Management)
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