Replicating Portfolios for Lookback Options in Discrete Time with Transaction Costs
碩士 === 國立臺灣大學 === 數學研究所 === 93 === We consider the price of the lookback options in the imperfect market where transaction costs are present. The standard Black - Scholes option pricing methodology is no longer valid since the market is imperfect. We prove that there still exists a unique replicatin...
| Main Authors: | , |
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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/33852036356150992202 |