Option pricing in discrete-time incomplete market models

Mathematical Finance

Volumn 10, Issue 2, 2000, Pages 305-321

  Stettner, Lukasz ^a  

^a INSTITUTE OF MATHEMATICS   (Poland)

Author keywords

Hedging; Martingale measure; Replication; Transaction costs; Utility function

Indexed keywords

EID: 0034386186     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00096     Document Type: Article

References (11)

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11. STETTNER, L. (1997): Option Pricing in the CRR Model with Proportional Transaction Costs: A Cone Transformation Approach, Appl. Math. 24(4), 475-514.