Geodesic
Option pricing in the CRR model with proportional transaction costs: a cone transformation approach
Applicationes Mathematicae, Tome 24 (1997) no. 4, pp. 475-514

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Option pricing in the Cox-Ross-Rubinstein model with transaction costs is studied. Using a cone transformation approach a complete characterization of perfectly hedged options is given.
DOI : 10.4064/am-24-4-475-514
Keywords: transaction costs, replicating cost, binomial model, hedging, option

Ł. Stettner 1

1 
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Ł. Stettner. Option pricing in the CRR model with proportional transaction costs: a cone transformation approach. Applicationes Mathematicae, Tome 24 (1997) no. 4, pp. 475-514. doi: 10.4064/am-24-4-475-514

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