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Author : Ajay Subramanian Aiyer
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.E/5 ( download)
Download or read book European Option Pricing with Fixed Transaction Costs written by Ajay Subramanian Aiyer and published by . This book was released on 1996 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Asadullah Jawid
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (17 download)
Download or read book European Option Pricing with Transaction Costs written by Asadullah Jawid and published by . This book was released on 2011 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Valeriy Zakamulin
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)
Download or read book European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs written by Valeriy Zakamulin and published by . This book was released on 2010 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we provide a systematic treatment of the utility based option pricing and hedging approach in markets with both fixed and proportional transaction costs: We extend the framework developed by Davis, Panas and Zariphopoulou (1993) and formulate the option pricing and hedging problem. We propose and implement a numerical procedure for computing option prices and corresponding optimal hedging strategies. We present a careful analysis of the optimal hedging strategy and elaborate on important differences between the exact hedging strategy and the asymptotic hedging strategy of Whaley and Wilmott (1994). We provide a simulation analysis in order to compare the performance of the utility based hedging strategy against the asymptotic strategy and some other common strategies.
Author : Ajay Subramanian
Publisher :
ISBN 13 :
Total Pages : 63 pages
Book Rating : 4.:/5 (129 download)
Download or read book European Option Pricing with General Transaction Costs and Short-Selling Constraints written by Ajay Subramanian and published by . This book was released on 2005 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we study the problem of European Option Pricing in a market with short-selling constraints and transaction costs having a very general form. We consider two types of proportional costs and a strictly positive fixed cost. We study the problem within the framework of the theory of stochastic impulse control. We show that determining the price of a European option involves calculating the value functions of two stochastic impulse control problems. We obtain explicit expressions for the quasi-variational inequalities satisfied by the value functions and derive the solution in the case where the parameters of the price processes are constants and the investor's utility function is linear. We use this result to obtain a price for a call option on the stock and prove that this price is a nontrivial lower bound on the hedging price of the call option in the presence of general transaction costs and short-selling constraints. We then consider the situation where the investor's utility function has a general form and characterize the value function as the pointwise limit of an increasing sequence of solutions to associated optimal stopping problems. We thereby devise a numerical procedure to calculate the option price in this general setting and implement the procedure to calculate the option price for the class of exponential utility functions. Finally, we carry out a qualitative investigation of the option prices for exponential and linear-power utility functions.
Author : Stepan Sahakyan
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (13 download)
Download or read book Pricing European Options in Markets With Transaction Costs written by Stepan Sahakyan and published by . This book was released on 2015 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we propose conceptually new approach to pricing European call options in markets with transaction costs. In contrast to the previous research, we introduce and model two - quote and gross (which includes transaction costs and fees) - price processes. Also using both price processes we introduce new portfolio replication concept, namely "quasi replication" strategy. The advantage of the proposed model is its simplicity, whereby the price of the European option is expressed in terms of the Black-Scholes type formulas.
Author : Guy Barles
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Option Pricing with Transaction Costs and a Nonlinear Black Scholes Equation written by Guy Barles and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In a market with transaction costs, generally, there is no nontrivial portfolio that dominates a contingent claim. Therefore, in such a market, preferences have to be introduced in order to evaluate the prices of options. The main goal of this article is to quantify this dependence on preferences in the specific example of a European call option. This is achieved by using the utility function approach of Hodges and Neuberger together with an asymptotic analysis of partial differential equations. We are led to a nonlinear Black-Scholes equation with an adjusted volatility which is a function of the second derivative of the price itself. In this model, our attitude towards risk is summarized in one free parameter a which appears in the nonlinear Black-Scholes equation : we provide an upper bound for the probability of missing the hedge in terms of a and the magnitude of the proportional transaction cost which shows the connections between this parameter a and the risk.
Author : Mariusz Tamborski
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.F/5 ( download)
Download or read book Currency Option Pricing with Stochastic Interest Rates and Transaction Costs written by Mariusz Tamborski and published by . This book was released on 1994 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mariusz Tamborski
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (257 download)
Download or read book Currency Option Pricing with Stochastic Interst Rates and Transaction Costs written by Mariusz Tamborski and published by . This book was released on 1994 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Roberto Baviera
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (129 download)
Download or read book Option Prices in Presence of Transaction Cost written by Roberto Baviera and published by . This book was released on 2002 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide closed formulas for European call option ask and bid prices in presence of transaction costs. Underlying prices have the same dynamics of Black-Scholes model and a bid-ask spread proportional to bid price. We suppose that a market maker has to quote a bid and ask price for an option in a perfect competition market. Under these conditions derivative prices are obtained imposing the No Almost Sure Arbitrage Principle: the market maker fixes bid (ask) price as the highest buying (lowest selling) price that can accepted by an investor who maximizes the growth rate of his portfolio.
Author : M. H. A. Davis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book European Option Pricing with Transactions Costs written by M. H. A. Davis and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alet Roux
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Download or read book European Options Under Proportional Transaction Costs written by Alet Roux and published by . This book was released on 2006 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper is devoted to optimal superreplication of European options in the discrete setting under proportional transaction costs on the underlying asset. In particular, general pricing and hedging algorithms are developed. This extends previous work by many authors, which has been focused on the binomial tree model and options with specific payoffs such as calls or puts, often under certain bounds on the magnitude of transaction costs. All such restrictions are hereby removed. The results apply to options with arbitrary payoffs in the general discrete market model with arbitrary proportional transaction costs. Numerical examples are presented to illustrate the results and their relationships to the earlier work on pricing options under transaction costs.
Author : A. E. Whalley
Publisher :
ISBN 13 :
Total Pages : 398 pages
Book Rating : 4.:/5 (45 download)
Download or read book Option Pricing with Transaction Costs written by A. E. Whalley and published by . This book was released on 1998 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stylianos Perrakis
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (248 download)
Download or read book Option Pricing and Replication with Transaction Costs and Dividends written by Stylianos Perrakis and published by . This book was released on 1999 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christoforos Christofides
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (642 download)
Download or read book Option Pricing with Transaction Costs written by Christoforos Christofides and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Vassilios Gerassimos Panas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (62 download)
Download or read book Option Pricing with Transaction Costs written by Vassilios Gerassimos Panas and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alet Roux
Publisher :
ISBN 13 :
Total Pages : 5 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Note on Melnikov-Petrachenko Option Pricing in Binomial Market with Transaction Costs written by Alet Roux and published by . This book was released on 2019 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the paper by Melnikov and Petrachenko published in Finance and Stochastics 9 (2005), 141--149, a procedure is put forward for pricing and replicating an arbitrary European contingent claim in the binomial market with transaction costs. We present an example to show that the option price arrived at by this replication procedure can lead to arbitrage. This is related to the fact that under transaction costs a superreplicating strategy may cost less to set up than a strictly replicating one.
Author : George M. Constantinides
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.:/5 (12 download)
Download or read book Option Pricing Bounds with Transaction Costs written by George M. Constantinides and published by . This book was released on 1993 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
