Work

Option Pricing Model with Transaction Costs

Year: 2021

Type: preprint

Abstract: 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 developed.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.2112.10209

Authors: Bellora, F. G., Mazzei, G., Maurette, M.

Institutions: Carnegie Mellon University, Université Paris-Saclay

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4226310291

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