Narrow search
Showing 1 - 8 of 8
Cover Image
Replication and super replicating portfolios in the Boyle-Vorst discrete-time option pricing model with transactions costs
Palmer, Ken (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001594742
Cover Image
A note on the Boyle-Vorst discrete-time option pricing model with transactions costs
Palmer, Ken - In: Mathematical finance : an international journal of … 11 (2001) 3, pp. 357-363
Persistent link: https://www.econbiz.de/10001651169
Cover Image
The Least Cost Super Replicating Portfolio in the Boyle-Vorst Model with Transaction Costs
Chen, Guanyu - 2010
Boyle and Vorst work in the framework of the binomial model and derive self-financing strategies perfectly replicating the final payoffs to long and short positions in call and put options, assuming proportional transactions costs on trades in the stock and no transactions costs on trades in the...
Persistent link: https://www.econbiz.de/10013150064
Cover Image
Smooth convergence in the binomial model
Chang, Lo-Bin; Palmer, Ken - In: Finance and stochastics 11 (2007) 1, pp. 91-105
Persistent link: https://www.econbiz.de/10003410639
Cover Image
Two decades of information transfer studies : a review
Otchere, Isaac (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001596886
Cover Image
Volatility cones in SPI futures
O'Connor, Ian (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001596888
Cover Image
Risk changes and information effects following dividend initiation announcements : evidence based on seemingly unrelated regression
Otchere, Isaac (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001596893
Cover Image
Dividend protection at a price : lessons from endowment warrants
Brown, Christine (contributor); Davis, Kevin T. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001596894