# Option pricing in the CRR model with proportional transaction costs: a cone transformation approach

Applicationes Mathematicae (1997)

- Volume: 24, Issue: 4, page 475-514
- ISSN: 1233-7234

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topStettner, Ł.. "Option pricing in the CRR model with proportional transaction costs: a cone transformation approach." Applicationes Mathematicae 24.4 (1997): 475-514. <http://eudml.org/doc/219187>.

@article{Stettner1997,

abstract = {Option pricing in the Cox-Ross-Rubinstein model with transaction costs is studied. Using a cone transformation approach a complete characterization of perfectly hedged options is given.},

author = {Stettner, Ł.},

journal = {Applicationes Mathematicae},

keywords = {transaction costs; replicating cost; binomial model; hedging; option; Cox-Cross-Rubinstein model; perfectly hedged options},

language = {eng},

number = {4},

pages = {475-514},

title = {Option pricing in the CRR model with proportional transaction costs: a cone transformation approach},

url = {http://eudml.org/doc/219187},

volume = {24},

year = {1997},

}

TY - JOUR

AU - Stettner, Ł.

TI - Option pricing in the CRR model with proportional transaction costs: a cone transformation approach

JO - Applicationes Mathematicae

PY - 1997

VL - 24

IS - 4

SP - 475

EP - 514

AB - Option pricing in the Cox-Ross-Rubinstein model with transaction costs is studied. Using a cone transformation approach a complete characterization of perfectly hedged options is given.

LA - eng

KW - transaction costs; replicating cost; binomial model; hedging; option; Cox-Cross-Rubinstein model; perfectly hedged options

UR - http://eudml.org/doc/219187

ER -

## References

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- [MV] F. Mercurio and T. C. F. Vorst, Option pricing and hedging in discrete time with transaction costs and incomplete markets, preprint. Zbl0947.91038
- [MS] M. Motoczyński and Ł. Stettner, On option pricing in the multidimensional Cox-Ross-Rubinstein model, Appl. Math. (Warsaw), to appear. Zbl0895.90016
- [R] M. Rutkowski, Optimality of replicating strategies in the CCR model with proportional transaction costs, ibid., to appear.
- [SSC] H. M. Soner, S. E. Schreve and J. Cvitanić, There is no nontrivial portfolio for option pricing with transaction costs, Ann. Appl. Probab. 5 (1995), 327-355. Zbl0837.90012
- [SKKM] I. Shiryaev, Yu. M. Kabanov, D. O. Kramkov and A. V. Melnikov, On the theory of pricing of European and American options, I: Discrete time, Teor. Veroyatnost. i Primenen. 39 (1994), 23-79 (in Russian). Zbl0833.60064
- [TZ] G. Tessitore and J. Zabczyk, Pricing options for multinomial models, Bull. Polish Acad. Sci. Math. 44 (1996), 363-380. Zbl0868.90010

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