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Hedging of the European option in discrete time under transaction costs depending on time. (English) Zbl 1192.91181

The author considers hedging of a European option in a discrete time financial market with proportional transaction costs. It is shown that for a certain class of options the set of portfolios which allow the seller to pay the claim of the buyer in quite a general discrete time market model is the same as in a model where the stock price is described by Cox-Ross-Rubinstein model. Some examples are presented.

MSC:

91G20 Derivative securities (option pricing, hedging, etc.)
91G10 Portfolio theory
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