Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Pricing and Hedging of Derivative Products in the Presence of Transaction Costs
Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business.
2000 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

According to Black-Scholes (BS) option pricing model, the price of an option should be identical to the price of a portfolio of assets with the same pay-off. With transaction costs, the BS no-arbitrage pricing argument for option pricing is no longer valid. There are other models proposed, i.e. Leland's method for pricing European calls, assuming that trading takes place only at descrete intervals, in the presence of transaction costs. This alternative strategy depends on the environment, the option to be replicated, the level of transaction costs and the revision interval.

Place, publisher, year, edition, pages
2000.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-2200OAI: oai:DiVA.org:su-2200DiVA: diva2:191107
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05

Open Access in DiVA

No full text

By organisation
School of Business
Business Administration

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 16 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf