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Voted
FS
2006
14 years 10 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
14 years 8 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
14 years 10 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...