Path-dependent options and transaction costs

Author:

Abstract

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.

Publisher

The Royal Society

Subject

Pharmacology (medical),Complementary and alternative medicine,Pharmaceutical Science

Reference13 articles.

1. Atkinson C. & Wilmott P. 1993 Portfolio management with transaction costs: an asymptotic analysis. Math. Finance. (In the press.)

2. The Pricing of Options and Corporate Liabilities

3. Option Replication in Discrete Time with Transaction Costs

4. European Option Pricing with Transaction Costs

5. Dewynne J. N. & Wilmott P. 1991 Lookback options. OCIAM Oxford (Working paper).

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