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Option pricing in the CRR model with proportional transaction costs: a cone transformation approach. (English) Zbl 1043.91511
Summary: 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.

MSC:
91G20 Derivative securities (option pricing, hedging, etc.)
93E20 Optimal stochastic control
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