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| Author: | Ostermark, R. |
| Title: | Call option pricing and replication under economic friction |
| Journal: | European Journal of Operational Research
1998 : JUL 1, VOL. 108:1, p. 184-195 |
| Index terms: | OPERATIONAL RESEARCH OPTION PRICES MANAGEMENT |
| Language: | eng |
| Abstract: | In this paper the author incorporates multiple transactions costs in the option pricing formula of black and Scholes. The effect of introducing economic friction in the equilibrium equation is studied and summarized in some central propositions. The analysis provides part of the results needed for capturing the economic effects of transactions costs in the pricing process. |
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