Option Pricing Under Transaction Costs: A Martingale Approach.

We study the contingent claim valuation problem in a general discrete-time framework with transaction costs. We consider the cost of the replicating strategy for attainable contingent claims and the minimal cost of the dominating strategies and we derive an expected representation formula for each of them.

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Year of publication:	1996
Authors:	Koehl, P.F. ; Pham, H. ; Touzi, N.
Subject:	FINANCIAL MARKET \| RISK

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Type of publication:	Book / Working Paper
Notes:	26 pages
Classification:	G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641164