Author: Jean LeFollPublisher:
ISBN:
Category : Cost
Languages : en
Pages : 16
Book Description
Option Replication in Discrete Time with Transactions Costs : a Note
Author: Jean LeFollOption Replication in Discrete Time with Transaction Costs
Author: Phelim P. BoyleOption Replication in Discrete Time with Transaction Costs
Author: Malene Sun Kim FriisOption Replication in Discrete Time with Translator Cost
Author: Stylianos PerrakisDiscrete Option Replication with Transactions Costs
Author: Peter Albert AbkenPublisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 60
Book Description
Option Replication with Large Transactions Costs
Author: Ariane ReissPublisher:
ISBN:
Category :
Languages : en
Pages : 25
Book Description
Contrary to a continuous-time model, in a discrete-time binomial model it is possible to construct a self-financing strategy which exactly replicates the payoff of a European option contract at maturity in the presence of proportional transactions costs. We derive an upper boundary for the cost factor in a market where all investors face the same factor. This upper boundary ensures the efficiency of the riskfree bond price as well as the stock price process. It turns out that perfect replication is optimal in the presence of only one transactions costs factor. Furthermore, conditions are given under which superreplicating strategies are dominant under differential transactions costs. A closed-form solution for the value of a Short call option is derived. While this least initial endowment is preference-free, the individual replicating strategy is preference-dependent. In addition, we show how the value of a Long European call option is derived computationally easily.
Discrete Option Replication with Transactions Cost
Author: Peter A. AbkenReplication and Super Replicating Portfolios in the Boyle-Vorst Discrete-time Option Pricing Model with Transactions Costs
Author: Advances In Quantitative Analysis Of Finance And Accounting (Vol. 5)
Author: Cheng Few LeePublisher: World Scientific
ISBN: 9814475548
Category : Business & Economics
Languages : en
Pages : 345
Book Description
News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Advances in Quantitative Analysis of Finance and Accounting is an annual publication designed to disseminate recent developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. Its objective is to promote interaction between academic research in finance and accounting with applied research in the financial community and the accounting profession.The chapters in this volume cover a wide range of pressing topics including security analysis and mutual fund management, option pricing theory and application, interest rate spread, and electricity pricing.
Author: Ken Palmer