Pricing of European and American claims in the CRR model with fixed plus - concave transaction costs

• Autorzy: Piasecka J.
• Języki publikacji: EN

Abstrakty

EN

In the paper CRR model with fixed + concave transaction costs is studied. Pricing of European and American claims is considered. The paper is a generalization of [4], where only concave transaction cost were investigated.

Słowa kluczowe

EN

claim; hedging; transaction costs; binomial model

PL

koszty transakcji; modele dwumianów; zabezpieczenia

• Wydawca: De Gruyter
• Czasopismo: Demonstratio Mathematica
• Rocznik: 2004
• Tom: Vol. 37, nr 3
• Strony: 727--744
• Opis fizyczny: Bibliogr. 7 poz.

Twórcy

autor

Piasecka J.

• Institute of Mathematics, Maria Curie-Skłodowska University, 20-031 Lublin, Poland

Bibliografia

• [1] B. Bensaid, J. P. Lesne, H. Pages and J. Scheinkman, Derivative asset pricing with transaction costs, Math. Finance 2 (1992), 63-83.
• [2] P. P. Boyle and T. Vorst, Option replication in discrete time with transaction costs, J. Finance 47 (1992), 271-293.
• [3] J. C. Cox, S. A. Ross and M. Rubinstein, Option pricing: A simplified approach, J. Financial Econom. 7 (1979), 229-263.
• [4] M. Kociński, Hedging in the CRR model under concave transaction costs, Demonstratio Math. 34 (2001), 497-512.
• [5] M. Kociński, Hedging of the european option in discrete time under proportional transaction costs, (2003), Preprint.
• [6] M. Rutkowski, Optimality of replicating strategies in the CCR model with proportional transaction costs, Appl. Math. 25 (1998), 29-53.
• [7] Ł. Stettner, Option pricing in the CRR model with proportional transaction costs: a cone transformation approach, Appl. Math. 24,4 (1997), 475-514.