Geodesic
Hedging of the European option in discrete time under transaction costs depending on time
Marek Andrzej Kociński1
1 Wydzia/l Zastosowa/n Informatyki i Matematyki Szko/la G/l/owna Gospodarstwa Wiejskiego Nowoursynowska 159 02-776 Warszawa, Poland
Applicationes Mathematicae, Tome 37 (2010) no. 2, pp. 201-214 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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Hedging of the European option in a discrete time financial market with proportional transaction costs is considered. It is shown that for a certain class of options the set of portfolios which allow the seller to pay the claim of the buyer in quite a general discrete time market model is the same as the set of such portfolios under the assumption that the stock price movement is given by a suitable CRR model.
DOI : 10.4064/am37-2-5
Keywords: hedging european option discrete time financial market proportional transaction costs considered shown certain class options set portfolios which allow seller pay claim buyer quite general discrete time market model the set portfolios under assumption stock price movement given suitable crr model

Marek Andrzej Kociński 1

1 Wydzia/l Zastosowa/n Informatyki i Matematyki Szko/la G/l/owna Gospodarstwa Wiejskiego Nowoursynowska 159 02-776 Warszawa, Poland 
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Marek Andrzej Kociński. Hedging of the European option in discrete time under transaction costs depending on time. Applicationes Mathematicae, Tome 37 (2010) no. 2, pp. 201-214. doi: 10.4064/am37-2-5

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