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Option Bounds in Discrete Time with Transaction Costs
Option Bounds in Discrete Time with Transaction Costs Option bounds are obtained in a discrete-time ... following matrix identity: ~-e 1" 1 -~+8 P+OA. (17) We see that the difference between our stochastic ...- 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