Options Under Transaction Costs (Paperback)

This book is aimed at researchers and PhD students in mathematical finance. It studies the pricing and hedging of options in �nancial 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.

General

Imprint:	VDM Verlag Dr. Mueller E.K.
Country of origin:	Germany
Release date:	October 2008
First published:	October 2008
Authors:	Alet Roux
Dimensions:	229 x 152 x 8mm (L x W x T)
Format:	Paperback - Trade
Pages:	156
ISBN-13:	978-3-8364-9239-3
Categories:	Books > Science & Mathematics > Mathematics > General
LSN:	3-8364-9239-3
Barcode:	9783836492393

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