On option pricing in binomial market with transaction costs

被引：8
|
作者：
Melnikov, AV [1 ]
Petrachenko, YG [1 ]
机构：
[1] Univ Alberta, Dept Math & Stat Sci, Edmonton, AB T6G 2G1, Canada
来源：
FINANCE AND STOCHASTICS | 2005年 / 9卷 / 01期
关键词：
binomial market; transaction costs; contingent claim; option replication; self-financing conditions;
D O I：
10.1007/s00780-004-0134-7
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Option replication is studied in a discrete-time framework with proportional transaction costs. The model represents an extension of the Cox-Ross-Rubinstein binomial option-pricing model to cover the case of proportional transaction costs for one risky asset with different interest rates on bank credit and deposit. Contingent claims are supposed to be 2-dimensional random variables. Explicit formulas for self-financing strategies are obtained for this case.
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页码：141 / 149
页数：9
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