Implied transaction costs by Leland option pricing model: A new approach and empirical evidence-Reference-Cited by-同舟云学术

Implied transaction costs by Leland option pricing model: A new approach and empirical evidence

Published:2012-11 Issue:4 Volume:18 Page:333-360
ISSN:1753-965X
Container-title:Journal of Derivatives & Hedge Funds
language:en
Short-container-title:J Deriv Hedge Funds

Author:

Li Steven,Abdullah Mimi Hafizah

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Finance

Link

http://link.springer.com/content/pdf/10.1057/jdhf.2012.12.pdf

Reference66 articles.

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3. Atkinson, C. and Alexandropoulos, C.A. (2006) Pricing a European basket option in the presence of proportional transaction costs. Applied Mathematical Finance 13 (3): 191–214.

4. Australian Securities Exchange (ASX). (2009) Low exercise price options, http://www.asx.com.au/products/low-exercise-price-options.htm , accessed 1 December 2009.

5. Bakshi, G., Cao, C. and Chen, Z. (1997) Empirical performance of alternative option pricing models. The Journal of Finance 52 (5): 2003–2049.

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