Articlebronze1998

Optimality of replication in the CRR model with transaction costs

23 citations0/0 files storedApplicationes Mathematicae

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

Abstract

Recently, there has been a growing interest in optimization problems associated with the arbitrage pricing of derivative securities in imperfect markets (in particular, in models with transaction costs). In this paper, we examine the valuation and hedging

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1979Option pricing: A simplified approach 1990Portfolio Selection with Transaction Costs 1994Optimal Investment and Consumption with Transaction Costs 1989Optimal replication of contingent claims under transaction costs 1993European Option Pricing with Transaction Costs 1976Portfolio selection with transactions costs 1995Martingales and Arbitrage in Securities Markets with Transaction Costs 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1

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2008Options under Proportional Transaction Costs: An Algorithmic Approach to Pricing and Hedging 2008American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions 2003A non-arbitrage liquidity model with observable parameters for derivatives

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