A counter-example to an option pricing formula under transaction costs
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DOI: 10.1007/s00780-006-0016-2
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References listed on IDEAS
- Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1991. "Cash Stream Valuation In the Face of Transaction Costs and Taxes," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 31-54, January.
- Lukasz Stettner, 2000. "Option Pricing in Discrete‐Time Incomplete Market Models," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 305-321, April.
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Cited by:
- Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, September.
- Jörn Sass & Manfred Schäl, 2014. "Numeraire portfolios and utility-based price systems under proportional transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 195-234, October.
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More about this item
Keywords
Transaction costs; Arbitrage; Option pricing; Replication; Superreplication; 62P05; G11; G13;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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