Theoretical and Applied Mechanics Japan
Online ISSN : 1349-4244
Print ISSN : 1348-0693
ISSN-L : 1348-0693
IV. NUMERICAL COMPUTATIONS
Option Hedging Strategy with Transaction Costs
Shinya YOKOYA
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2004 年 53 巻 p. 291-295

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抄録
Option replication is discussed in a discrete-time framework with transaction costs. The model represents an extension of the m(≥3)-nomial option pricing model to cover the case of proportional transaction costs. The method is based interval by a locally risk-minimizing strategy.
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© 2004 by National Committee for IUTAM
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