Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Bellora, F. G."'
Publikováno v:
MACI 6 2017 p.569-573
The author presents alternatives to the Black-Scholes european call option pricing model by incorporating different transaction cost structures in the replicating strategy. In particular, an exponentially decreasing structure is proposed and develope
Externí odkaz:
http://arxiv.org/abs/2112.10209
Publikováno v:
MACI 8 2021 p.459-462
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a nonlinear opti
Externí odkaz:
http://arxiv.org/abs/2109.12337