Hedging of the European option in discrete time under transaction costs depending on time

Marek Andrzej Kociński. "Hedging of the European option in discrete time under transaction costs depending on time." Applicationes Mathematicae 37.2 (2010): 201-214. <http://eudml.org/doc/280042>.

@article{MarekAndrzejKociński2010,
abstract = {Hedging of the European option in a discrete time financial market with proportional transaction costs is considered. It is shown that for a certain class of options the set of portfolios which allow the seller to pay the claim of the buyer in quite a general discrete time market model is the same as the set of such portfolios under the assumption that the stock price movement is given by a suitable CRR model.},
author = {Marek Andrzej Kociński},
journal = {Applicationes Mathematicae},
keywords = {European option; self-financing strategy; hedging; transaction costs},
language = {eng},
number = {2},
pages = {201-214},
title = {Hedging of the European option in discrete time under transaction costs depending on time},
url = {http://eudml.org/doc/280042},
volume = {37},
year = {2010},
}

TY - JOUR
AU - Marek Andrzej Kociński
TI - Hedging of the European option in discrete time under transaction costs depending on time
JO - Applicationes Mathematicae
PY - 2010
VL - 37
IS - 2
SP - 201
EP - 214
AB - Hedging of the European option in a discrete time financial market with proportional transaction costs is considered. It is shown that for a certain class of options the set of portfolios which allow the seller to pay the claim of the buyer in quite a general discrete time market model is the same as the set of such portfolios under the assumption that the stock price movement is given by a suitable CRR model.
LA - eng
KW - European option; self-financing strategy; hedging; transaction costs
UR - http://eudml.org/doc/280042
ER -