Option Pricing and Replication with Transaction Costs and Dividends

This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of stock returns, for a market maker that establishes bid and ask prices for American call options on stocks paying dividends prior to expiration.(...)

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Year of publication:	1999-07-01
Authors:	Perrakis, Stylianos ; Lefoll, Jean
Publisher:	International Center for Financial Asset Management and Engineering <Genève>
Subject:	Hedging \| Optionspreistheorie \| Portfolio Selection \| Dividende \| dividend \| Transaktionskosten \| Bewertung

Table of Contents
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Introduction
The general model
Appendix

Persistent link: https://www.econbiz.de/10005843146