Displaying similar documents to “ n ( n - 2 ) .”

Some debts I owe.

Andrews, George E. (1999)

Séminaire Lotharingien de Combinatoire [electronic only]

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On the connectivity of efficient point sets

Wen Song (1998)

Applicationes Mathematicae

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The connectivity of the efficient point set and of some proper efficient point sets in locally convex spaces is investigated.

Graphical major indices. II.

Foata, Dominique, Krattenthaler, Christian (1995)

Séminaire Lotharingien de Combinatoire [electronic only]

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Optimality of replication in the CRR model with transaction costs

Marek Rutkowski (1998)

Applicationes Mathematicae

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Recently, there has been a growing interest in optimization problems associated with the arbitrage pricing of derivative securities in imperfect markets (in particular, in models with transaction costs). In this paper, we examine the valuation and hedging of European claims in the multiplicative binomial model proposed by Cox, Ross and Rubinstein [5] (the CRR model), in the presence of proportional transaction costs. We focus on the optimality of replication; in particular, we provide...