Option pricing in the CRR model with proportional transaction costs: a cone transformation approach
Volume 24 / 1997
Applicationes Mathematicae 24 (1997), 475-514
DOI: 10.4064/am-24-4-475-514
Abstract
Option pricing in the Cox-Ross-Rubinstein model with transaction costs is studied. Using a cone transformation approach a complete characterization of perfectly hedged options is given.
