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

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