Option pricing with transaction costs using a Markov chain approximation

Option pricing with transaction costs using a Markov chain approximation

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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...

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Bibliografiska uppgifter
Huvudupphovsman:	Monoyios, M
Materialtyp:	Journal article
Publicerad:	2004

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