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American options, numerical methods and risk management

Kōnstantinidēs, Giōrgos (contributor); … - 2001

Persistent link: https://www.econbiz.de/10001548985

A closed-form solution to the problem of super-replication under transaction costs

Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar - In: Finance and stochastics 3 (1999) 1, pp. 35-54

Persistent link: https://www.econbiz.de/10001367451

Utility based option pricing with proportional transaction costs and diversification problems : an interior point optimization approach

Andersen, Erling D.; Damgaard, Anders - 1997

Persistent link: https://www.econbiz.de/10000960751

Option replication with large transactions costs

Reiß, Ariane - 1997

In this paper we addressed the problem of determining the optimal replicating strategy for a European call option under differential transactions costs. We derived an upper boundary for the cost factor in a market where all Investors face the same factor. This upper boundary ensures the...

Persistent link: https://www.econbiz.de/10010405881