Unique Replicating Portfolio in the Boyle-Vorst Discrete-Time Option Pricing Modelwith Transaction Costs
碩士 === 國立臺灣大學 === 數學研究所 === 93 === Working in the binomial framework, Boyle and Vorst (1992) derive unique self-financing strategies which perfectly replicate European call and put options for long positions with settlement by delivery, assuming proportional transaction costs on trades in the stocks...
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/45129235905869811594 |