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Option Pricing in Discrete‐Time Incomplete Market Models

27 citations0/0 files storedMathematical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

Various aspects of pricing of contingent claims in discrete time for incomplete market models are studied. Formulas for prices with proportional transaction costs are obtained. Some results concerning pricing with concave transaction costs are shown. Pricing by the expected utility of terminal wealth is also considered.

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2008Options under Proportional Transaction Costs: An Algorithmic Approach to Pricing and Hedging

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