Path-dependent options and transaction costs
Path-dependent options and transaction costs
复制标题
路径依赖选项和交易成本
DOI：
10.1098/rsta.1994.0061
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发表时间：
1994
期刊：
影响因子：
--
通讯作者：
P. Wilmott
中科院分区：
文献类型：
--
作者：
J. Dewynne;A. Whalley;P. Wilmott
我们描述了关于奇异期权定价和标的交易产生交易成本时期权定价的研究。然后，这两个主题被正式地结合在一起，用微分方程的形式来模拟有交易成本的奇异期权的定价问题。在几个案例中给出了结果。
We describe research in the subjects of exotic option pricing and option pricing when trade in the underlying incurs transaction costs. These two subjects are then formally brought together to model, in terms of differential equations, problems in pricing exotic options with transaction costs. Results are presented in several cases.