Option pricing in the CRR model with proportional transaction costs: a cone transformation approach

Volume 24 / 1997

Ł. Stettner Applicationes Mathematicae 24 (1997), 475-514 DOI: 10.4064/am-24-4-475-514

Abstract

Option pricing in the Cox-Ross-Rubinstein model with transaction costs is studied. Using a cone transformation approach a complete characterization of perfectly hedged options is given.

Authors

  • Ł. Stettner

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