Option Pricing Model with Transaction Costs

F. G. Bellora, G. Mazzei and M. Maurette

Papers from arXiv.org

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.

Date: 2021-12
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Published in MACI 6 2017 p.569-573

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2112.10209

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