Displaying similar documents to “Professor K. G. Ramanathan (1920-1992)”

Optimality of replication in the CRR model with transaction costs

Marek Rutkowski (1998)

Applicationes Mathematicae

Similarity:

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...

Product splittings for p-compact groups

W. Dwyer, C. Wilkerson (1995)

Fundamenta Mathematicae

Similarity:

We show that a connected p-compact group with a trivial center is equivalent to a product of simple p-compact groups. More generally, we show that product splittings of any connected p-compact group correspond bijectively to algebraic splittings of the fundamental group of the maximal torus as a module over the Weyl group. These are analogues for p-compact groups of well-known theorems about compact Lie groups.