On option pricing in binomial market with transaction costs

被引：8

作者：

Melnikov, AV ^{[1
]}

Petrachenko, YG ^{[1
]}

机构：

[1] Univ Alberta, Dept Math & Stat Sci, Edmonton, AB T6G 2G1, Canada

来源：

FINANCE AND STOCHASTICS | 2005年 / 9卷 / 01期

关键词：

binomial market; transaction costs; contingent claim; option replication; self-financing conditions;

D O I：

10.1007/s00780-004-0134-7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Option replication is studied in a discrete-time framework with proportional transaction costs. The model represents an extension of the Cox-Ross-Rubinstein binomial option-pricing model to cover the case of proportional transaction costs for one risky asset with different interest rates on bank credit and deposit. Contingent claims are supposed to be 2-dimensional random variables. Explicit formulas for self-financing strategies are obtained for this case.

引用

页码：141 / 149

页数：9

共 15 条

[1] On Leland's strategy of option pricing with transactions costs
Yuri M. Kabanov
Mher M. Safarian
[J]. Finance and Stochastics, 1997, 1 (3) : 239 - 250
[2] OPTION REPLICATION IN DISCRETE-TIME WITH TRANSACTION COSTS
BOYLE, PP
VORST, T
[J]. JOURNAL OF FINANCE, 1992, 47 (01) : 271 - 293
[3] Hedging under transaction costs in currency markets: A discrete-time model
Delbaen, F
Kabanov, YM
Valkeila, E
[J]. MATHEMATICAL FINANCE, 2002, 12 (01) : 45 - 61
[4] Hedging under transaction costs in currency markets: A continuous-time model
Kabanov, YM
Last, G
[J]. MATHEMATICAL FINANCE, 2002, 12 (01) : 63 - 70
[5] Lambert DH, 1998, REGION ANESTH PAIN M, V23, P3
[6] OPTION PRICING AND REPLICATION WITH TRANSACTIONS COSTS
LELAND, HE
[J]. JOURNAL OF FINANCE, 1985, 40 (05) : 1283 - 1301
[7] Melnikov A. V., 2002, MATH FINANCIAL OBLIG
[8] MELNIKOV AV, 2002, SURVEYS APPL IND MAT, V9, P637
[9] Merton R.C., 1990, Continuous-Time Finance
[10] A note on the Boyle-Vorst discrete-time option pricing model with transactions costs
Palmer, K
[J]. MATHEMATICAL FINANCE, 2001, 11 (03) : 357 - 363

← 1 2 →