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Options under Transaction Costs

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ISBN-10: 3836492393

ISBN-13: 9783836492393

Edition: 2008

Authors: Alet Roux

List price: $76.00
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This book is aimed at researchers and PhD students in mathematical finance. It studies the pricing and hedging of options in nancial markets with proportional transaction costs on trading in shares, modeled as bid-ask spreads, and different interest rates for borrowing and lending of cash. This is done by means of fair pricing and super-hedging. The fair price of an option is any market price for it that does not allow traders to make profit with no risk, and a super-hedging strategy allows the seller and buyer to remain in a solvent position after respectively delivering and receiving the option payoff. Efficient algorithms are presented for computing the bid and ask prices of European and…    
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Book details

List price: $76.00
Copyright year: 2008
Publisher: .AV Akademikerverlag GmbH & Co. KG
Binding: Paperback
Pages: 156
Size: 6.00" wide x 8.75" long x 0.75" tall
Weight: 0.330
Language: English