Path-dependent options and transaction costs
- 15 June 1994
- journal article
- Published by The Royal Society in Philosophical Transactions A
- Vol. 347 (1684) , 517-529
- https://doi.org/10.1098/rsta.1994.0061
Abstract
We describe research in the subjects of exotic option pricing and option pricing when trade in the underlying incurs transaction costs. These two subjects are then formally brought together to model, in terms of differential equations, problems in pricing exotic options with transaction costs. Results are presented in several cases.Keywords
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