Hedging of the European option in discrete time under transaction costs depending on time

Volume 37 / 2010

Marek Andrzej Kociński Applicationes Mathematicae 37 (2010), 201-214 MSC: Primary 91B24; Secondary 91G20. DOI: 10.4064/am37-2-5


Hedging of the European option in a discrete time financial market with proportional transaction costs is considered. It is shown that for a certain class of options the set of portfolios which allow the seller to pay the claim of the buyer in quite a general discrete time market model is the same as the set of such portfolios under the assumption that the stock price movement is given by a suitable CRR model.


  • Marek Andrzej KocińskiWydzia/l Zastosowa/n Informatyki i Matematyki
    Szko/la G/l/owna Gospodarstwa Wiejskiego
    Nowoursynowska 159
    02-776 Warszawa, Poland

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