Options under transaction costs: Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates

Research output: Book/ReportBook

Standard

Options under transaction costs : Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates . / Roux, Alet.

VDM Verlag, 2008. 156 p.

Research output: Book/ReportBook

Harvard

Roux, A 2008, Options under transaction costs: Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates . VDM Verlag.

APA

Roux, A. (2008). Options under transaction costs: Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates . VDM Verlag.

Vancouver

Roux A. Options under transaction costs: Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates . VDM Verlag, 2008. 156 p.

Author

Roux, Alet. / Options under transaction costs : Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates . VDM Verlag, 2008. 156 p.

Bibtex - Download

@book{a9edf3772b404b4f8d2da66eb85b0795,
title = "Options under transaction costs: Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates ",
abstract = "This book is aimed at researchers and PhD students in mathematical finance. It studies the pricing and hedging of options in financial markets with proportional transaction costs on trading in shares, modeled as bid-ask spreads, and different interest rates for borrowing and lending of cash. This is done by means of fair pricing and super-hedging. The fair price of an option is any market price for it that does not allow traders to make profit with no risk, and a super-hedging strategy allows the seller and buyer to remain in a solvent position after respectively delivering and receiving the option payoff. Efficient algorithms are presented for computing the bid and ask prices of European and American options; these prices serve as bounds on the fair prices. This unifies all existing algorithms for the calculation of such prices. As a by-product, a straightforward iterative method is found for determining the optimal super-hedging strategies (and stopping times) for both the buyer and seller of an option, and also optimal stopping strategies in the case of American options.",
author = "Alet Roux",
year = "2008",
language = "English",
isbn = "9783836492393",
publisher = "VDM Verlag",

}

RIS (suitable for import to EndNote) - Download

TY - BOOK

T1 - Options under transaction costs

T2 - Algorithms for Pricing and Hedging of European and American Options Under Proportional Transaction Costs and Different Borrowing and Lending Rates

AU - Roux, Alet

PY - 2008

Y1 - 2008

N2 - This book is aimed at researchers and PhD students in mathematical finance. It studies the pricing and hedging of options in financial markets with proportional transaction costs on trading in shares, modeled as bid-ask spreads, and different interest rates for borrowing and lending of cash. This is done by means of fair pricing and super-hedging. The fair price of an option is any market price for it that does not allow traders to make profit with no risk, and a super-hedging strategy allows the seller and buyer to remain in a solvent position after respectively delivering and receiving the option payoff. Efficient algorithms are presented for computing the bid and ask prices of European and American options; these prices serve as bounds on the fair prices. This unifies all existing algorithms for the calculation of such prices. As a by-product, a straightforward iterative method is found for determining the optimal super-hedging strategies (and stopping times) for both the buyer and seller of an option, and also optimal stopping strategies in the case of American options.

AB - This book is aimed at researchers and PhD students in mathematical finance. It studies the pricing and hedging of options in financial markets with proportional transaction costs on trading in shares, modeled as bid-ask spreads, and different interest rates for borrowing and lending of cash. This is done by means of fair pricing and super-hedging. The fair price of an option is any market price for it that does not allow traders to make profit with no risk, and a super-hedging strategy allows the seller and buyer to remain in a solvent position after respectively delivering and receiving the option payoff. Efficient algorithms are presented for computing the bid and ask prices of European and American options; these prices serve as bounds on the fair prices. This unifies all existing algorithms for the calculation of such prices. As a by-product, a straightforward iterative method is found for determining the optimal super-hedging strategies (and stopping times) for both the buyer and seller of an option, and also optimal stopping strategies in the case of American options.

M3 - Book

SN - 9783836492393

BT - Options under transaction costs

PB - VDM Verlag

ER -