PATH-DEPENDENT OPTIONS AND TRANSACTION COSTS

Authors
DEWYNNE JN WHALLEY AE WILMOTT P
Citation
Jn. Dewynne et al., PATH-DEPENDENT OPTIONS AND TRANSACTION COSTS, Philosophical transactions-Royal Society of London. Physical sciences and engineering, 347(1684), 1994, pp. 517-529
Citations number
13
Categorie Soggetti
Multidisciplinary Sciences
Journal title
Philosophical transactions-Royal Society of London. Physical sciences and engineering → ACNP
ISSN journal
09628428
Volume
347
Issue
1684
Year of publication
1994
Pages
517 - 529
Database
ISI
SICI code
0962-8428(1994)347:1684<517:POATC>2.0.ZU;2-N
Abstract
We describe research in the subjects of exotic option pricing and opti on pricing when trade in the underlying incurs transaction costs. Thes e two subjects are then formally brought together to model, in terms o f differential equations, problems in pricing exotic options with tran saction costs. Results are presented in several cases.