Option Pricing in Discrete‐Time Incomplete Market Models

Lukasz Stettner

Mathematical Finance, 2000, vol. 10, issue 2, 305-321

Abstract: Various aspects of pricing of contingent claims in discrete time for incomplete market models are studied. Formulas for prices with proportional transaction costs are obtained. Some results concerning pricing with concave transaction costs are shown. Pricing by the expected utility of terminal wealth is also considered.

Date: 2000
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