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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
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Extensions to the Boyle-Vorst discrete-time option pricing model with transactions costs
Palmer, Ken (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001596890
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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
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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