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

@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 -