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Option Pricing in Discrete‐Time Incomplete Market Models

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  • Lukasz Stettner

Abstract

Various aspects of pricing of contingent claims in discrete time for incomplete market models are studied. Formulas for prices with proportional transaction costs are obtained. Some results concerning pricing with concave transaction costs are shown. Pricing by the expected utility of terminal wealth is also considered.

Suggested Citation

  • Lukasz Stettner, 2000. "Option Pricing in Discrete‐Time Incomplete Market Models," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 305-321, April.
    • Handle: RePEc:bla:mathfi:v:10:y:2000:i:2:p:305-321
    DOI: 10.1111/1467-9965.00096
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    Cited by:

    1. Alet Roux & Tomasz Zastawniak, 2016. "Game options with gradual exercise and cancellation under proportional transaction costs," Papers 1612.02312, arXiv.org.
    2. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
    3. Tokarz, Krzysztof & Zastawniak, Tomasz, 2006. "American contingent claims under small proportional transaction costs," Journal of Mathematical Economics, Elsevier, vol. 43(1), pages 65-85, December.
    4. Alet Roux & Tomasz Zastawniak, 2006. "A counter-example to an option pricing formula under transaction costs," Finance and Stochastics, Springer, vol. 10(4), pages 575-578, December.
    5. Tomasz Tkalinski, 2014. "Convex hedging of non-superreplicable claims in discrete-time market models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(2), pages 239-252, April.

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