3 search results - page 1 / 1 » A counter-example to an option pricing formula under transac... |
FS
2006
13 years 4 months ago
2006
In the paper by Melnikov and Petrachenko `On option pricing in binomial market with transaction costs,' Finance Stoch. 9 (2005), 141
FS
2010
13 years 3 months ago
2010
Following the framework of C¸etin, Jarrow and Protter [4] we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of th...
SIAMSC
2008
13 years 4 months ago
2008
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...