Hedging of the European option in discrete time under proportional transaction costs

被引：0

作者：

Marek Kociński

机构：

[1] Wydział Ekonomiczno-Rolniczy,Katedra Ekonometrii i Informatyki

来源：

Mathematical Methods of Operations Research | 2004年 / 59卷

关键词：

European option; Self-financing strategy; Hedging; Transaction costs;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In the paper hedging of the European option in a discrete time financial market with proportional transaction costs is studied. It is shown that for a certain class of options the set of portfolios which allow to hedge an option in a discrete time model with a bounded set of possible changes in a stock price is the same as the set of such portfolios, under assumption that the stock price evolution is given by a suitable CRR model.

引用

页码：315 / 328

页数：13

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