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The Journal of Finance

Volumn 47, Issue 1, 1992, Pages 271-293

Option Replication in Discrete Time with Transaction Costs

(2) BOYLE, PHELIM P a VORST, TON a

a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84977731998 PISSN: 00221082 EISSN: 15406261 Source Type: Journal
DOI: 10.1111/j.1540-6261.1992.tb03986.x Document Type: Article

Times cited : (263)

References (8)

1
- 0004302610
- John Wiley & Sons Inc., New York
- (1979) Probability and Measure
- Billingsley, P.¹

2
- 0004006323
- Prentice‐Hall Inc., Englewood Cliffs, NJ
- (1985) Options Markets
- Cox, J.C.¹ Rubinstein, M.²

3
- 49249142814
- Option pricing: A simplified approach
- (1979) Journal of Financial Economics , vol.7 , pp. 229-263
- Cox, J.C.¹ Ross, S.A.² Rubinstein, M.³

4
- 0000106019
- The effect of transaction costs and different borrowing and lending rates on the option pricing model: A note
- (1984) Journal of Finance , vol.43 , pp. 1215-1221
- Gilster, J.E.¹ Lee, W.²

5
- 0000714946
- Optimal replication of contingent claims under transaction costs
- (1989) The Review of Futures Markets , vol.8 , pp. 222-239
- Hodges, S.D.¹ Neuberger, A.²

6
- 84944830176
- Option pricing and replication with transaction costs
- (1985) The Journal of Finance , vol.40 , pp. 1283-1301
- Leland, H.E.¹

7
- 0003433397
- Basil Blackwell Ltd., Oxford, Chapter 14, Section 14.2.
- (1990) Continuous Time Finance
- Merton, R.C.¹

8
- 84977718840
- Bid‐ask prices for call option with transaction costs part I: Discrete time case, Working paper, Finance Department, The Wharton School, University of Pennsylvania, PA.
- (1990)
- Shen, Q.¹

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.