On the mean-variance tradeoff in option replication with transactions costs

Journal of Financial and Quantitative Analysis

Volumn 31, Issue 2, 1996, Pages 233-263

  Toft, Klaus Bjerre ^a  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040205471     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2331181     Document Type: Article

References (24)

1. Bensaid, B.; J.-P. Lesne; H. Pagès; and J. Scheinkman. "Derivative Asset Pricing with Transaction Costs." Mathematical Finance, 2 (1992), 63-86.
2. Black F., and M. Scholes. "The Pricing of Options and Corporate Liabilities" Journal of Political Economy, 81 (1973), 637-54.
3. Boyle, P. P., and D. Emanuel. "Discretely Adjusted Option Hedges." Journal of Financial Economics, 8 (1980), 259-282.
4. Boyle, P. P., and K. S. Tan. "Lure of the Linear." Risk, 7 ((4) 1994), 43-46.
5. Boyle, P. P., and T. Vorst. "Option Replication in Discrete Time with Transaction Costs." Journal of Finance, 47 (1992), 271-293.
6. Constantinides, G. M. "Option Pricing with Transactions Costs." Working Paper, Univ. of Chicago (1993).
7. Cox, J. C.; S. Ross; and M. Rubinstein. "Option Pricing: A Simplified Approach." Journal of Financial Economics, 7 (1979), 229-263.
8. Davis, M. H. A., and V. G. Panas. "European Option Pricing Transactions with Costs." In Proceedings of the 30th Conference on Decision and Control (1991), 1299-1304.
9. Davis, M. H. A.; V. G. Panas; and T. Zariphopoulou. "European Option Pricing with Transactions Costs." Working Paper, Imperial College (Undated).
10. Edirisinghe, C.; V. Naik; and R. Uppal. "Optimal Replication of Options with Transactions Costs and Trading Restrictions." Journal of Financial and Quantitative Analysis, 28 (1993), 117-138.
11. Figlewski, S. "Options Arbitrage in Imperfect Markets." Journal of Finance, 44 (1989), 1289-1311.
12. Flesaker, B., and L. P. Hughston. "Contingent Claim Replication in Continuous Time with Transactions Costs." Working Paper, Merrill Lynch (1993).
13. Gilster, J. E. J., and W. Lee. "The Effects of Transaction Costs and Different Borrowing and Lending Rates on the Option Pricing Model: A note." Journal of Finance, 39 (1984), 1215-1221.
14. Grannan, E. R., and G. H. Swindle. "Minimizing Transactions Costs of Option Hedging Strategies." Working Paper Univ. of California, Irvine (Undated).
15. Henrotte, P. "Transaction Costs and Duplication Strategies." Working Paper, Stanford Univ. (1993).
16. Hodges, S. D., and L. J. Clewlow. "Optimal Delta-Hedging under Transactions Costs." Working Paper, Univ. of Warwick (1993).
17. Hodges, S. D. and A. Neuberger. "Optimal Replication of Contingent Claims under Transactions Costs." Review of Futures Markets, 8 (1989), 222-239.
18. Kat, H. M. "Replicating Ordinary Call Options in an Imperfect Market: A Stochastic Simulation Study." Working Paper, MeesPierson N.V. (1993).
19. Leland, H. E. "Option Pricing and Replication with Transactions Costs." Journal of Finance, 40 (1985), 1283-1301.
20. Merton, R. C. Continuous-Time Finance. Cambridge, MA: Basil Blackwell Inc. (1990).
21. Robins, R. P., and B. Schachter. "An Analysis of The Risk in Discretely Rebalanced Option Hedges and Delta-Based Techniques." Working Paper, Tulane Univ. (1992).
22. Rubinstein, M. "A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period." Journal of Finance, 39 (1984), 1503-1509.
23. Shen, Q. "Bid-Ask Prices for Call Options with Transaction Costs." Working Paper, Univ. of Pennsylvania (1990).
24. Whalley, E., and P. Wilmott. "Counting the Costs." Risk, 6 ((10) 1993), 59-66.