Abstract
The standard Black-Scholes option pricing methodology fails in the presence of transaction costs because portfolios that exactly replicate the option pay-off no longer exist. Several alternative approaches have been proposed; our purpose is to examine one of them which is based on the idea of ‘super-replicating’ portfolios. It is argued that this approach does not lead to a viable theory of option pricing in continuous time.
Subject
Pharmacology (medical),Complementary and alternative medicine,Pharmaceutical Science
Cited by
29 articles.
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