NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
53rd NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
Session ID : 3B16
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OS22-2
Option Pricing and Replication with Transaction Costs
*Shinya Yokoya
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CONFERENCE PROCEEDINGS FREE ACCESS

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Abstract
Option replication is discussed in a discrete-time framework with transaction costs. The model represents an extension of the trinomial option pricing model to cover the case of proportional transaction costs. The method proceeds by constructing the appropriate replicating portfolio at each trading interval by a locally risk-minimizing strategy.
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© 2004 Committee for Mechanics and Structure,Science Council
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