Black and Scholes pricing and markets with transaction costs: An example

Haim Reisman

Finance and Stochastics, 2001, vol. 5, issue 4, 549-555

Abstract: The paper shows that in the presence of transaction costs, there exists a viable price system in which prices of call options are arbitrarily close to the price of the stock. The construction of such an example is possible no matter how small the volatility of the stock or how small the transaction costs.

Keywords: Option pricing; transaction costs (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2001-10-04
Note: received: June 2000; final version received: January 2001
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.de/link/service/journals/00780/papers/1005004/10050549.pdf (application/pdf)
Access to the full text of the articles in this series is restricted

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:5:y:2001:i:4:p:549-555

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().