1
-
1
of
1
results (0.52 seconds)
Sort By:
-
Option Bounds in Discrete Time with Transaction Costs
Transaction Costs Option bounds are obtained in a discrete-time framework with transaction costs. The model ... an extension of the Cox-Ross-Rubinstein binomial option pricing model to cover the case of proportional ...- Authors: Phelim Boyle, Ton Vorst
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments; Modeling & Statistical Methods