Option replication with transaction cost under Knightian uncertainty
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DOI: 10.1016/j.physa.2020.125680
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- Ren, Xiaohang & Xia, Xixia & Taghizadeh-Hesary, Farhad, 2023. "Uncertainty of uncertainty and corporate green innovation—Evidence from China," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 634-647.
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Keywords
Replication; Binomial tree; Uncertainty; Transaction cost; Non-Gaussian option pricing;All these keywords.
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