Black & Scholes Pricing and Markets with Transaction Costs PDF Download

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Black & Scholes Pricing and Markets with Transaction Costs

Black & Scholes Pricing and Markets with Transaction Costs PDF Author: Haim Reisman
Publisher:
ISBN:
Category :
Languages : en
Pages : 6

Book Description
The paper shows that in the presence of transaction costs, there exists a viable price system in which the price of a call option is arbitrarily close to the price of the stock (minus the bid-ask spread on the stock and the option). The construction of such an example is possible no matter how small is the volatility of the stock or how small are the transaction costs.
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