Option pricing with transaction costs using a Markov chain approximation
An efficient algorithm is developed to price European options in the presence of proportional transaction costs, using the optimal portfolio framework of Davis (in: Dempster, M.A.H., Pliska, S.R. (Eds.), Mathematics of Derivative Securities. Cambridge University Press, Cambridge, UK). A fair option...
| Main Author: | |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
2004
|