Stettner, Ł. Option pricing in the CRR model with proportional transaction costs: a cone transformation approach. (English) Zbl 1043.91511 Appl. Math. 24, No. 4, 475-514 (1997). 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. Cited in 7 Documents MSC: 91G20 Derivative securities (option pricing, hedging, etc.) 93E20 Optimal stochastic control Keywords:Cox-Cross-Rubinstein model; perfectly hedged options PDF BibTeX XML Cite \textit{Ł. Stettner}, Appl. Math. 24, No. 4, 475--514 (1997; Zbl 1043.91511) Full Text: DOI EuDML OpenURL