Approximative Hedging

Yuri Kabanov () and Mher Safarian ()
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Yuri Kabanov: Univerisité de Franche-Comté
Mher Safarian: Landesbank Baden-Württemberg (LBBW)

Chapter 1 in Markets with Transaction Costs, 2009, pp 1-70 from Springer

Abstract: Abstract Certainly, the reader of this book is well acquainted with foundations of the option pricing. Nevertheless, having in mind that the theory we develop in this chapter will deviate from the standard approach, we start our presentation with a short discussion of the Black–Scholes model and principle of option pricing by replication.

Keywords: Transaction Cost; Option Price; Call Option; Price Process; Contingent Claim (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-68121-2_1

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DOI: 10.1007/978-3-540-68121-2_1

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