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Subjects
93-XX Systems theory; control
93Exx Stochastic systems and control
93E20 Optimal stochastic control

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

Ł. Stettner (1997)

Applicationes Mathematicae

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.

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