Hedging of the European option in discrete time under proportional transaction costs

被引：0
作者：
Marek Kociński
机构：
[1] Wydział Ekonomiczno-Rolniczy,Katedra Ekonometrii i Informatyki
来源：
Mathematical Methods of Operations Research | 2004年 / 59卷
关键词：
European option; Self-financing strategy; Hedging; Transaction costs;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In the paper hedging of the European option in a discrete time financial market with proportional transaction costs is studied. It is shown that for a certain class of options the set of portfolios which allow to hedge an option in a discrete time model with a bounded set of possible changes in a stock price is the same as the set of such portfolios, under assumption that the stock price evolution is given by a suitable CRR model.
引用
收藏
页码：315 / 328
页数：13
相关论文
共 50 条
12345