Transaction costs and option prices
Author:
Affiliation:
1. The John Molson School of Business, Concordia University, MB 12.305, 1450 Guy Street, Montreal, Quebec, H3H 2L5, Canada. E-mail: stylianos.perrakis@concordia.ca
Publisher
IOS Press
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Finance,Statistics and Probability
Reference31 articles.
1. Derivative asset pricing with transaction costs;Bensaid;Mathematical Finance,1992
2. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973
3. What determines the shape of implied volatility functions;Bollen;Journal of Finance,2004
4. Why Are Put Options So Expensive?
5. Option replication in discrete time with transaction costs;Boyle;Journal of Finance,1992
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4. Index Option Anomalies: How Real Are They?;SSRN Electronic Journal;2018
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