haku: @journal_id 780 / yhteensä: 133
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| Tekijä: | Hauser, S. Levy, A. |
| Otsikko: | Pricing of foreign exchange options with transaction costs: the choice of trading interval |
| Lehti: | International Review of Financial Analysis
1996 : VOL. 5:2, p. 145-160 |
| Asiasana: | FINANCIAL ANALYSIS TRANSACTION COSTS FOREIGN EXCHANGE |
| Kieli: | eng |
| Tiivistelmä: | In this paper, the authors develop an arbitrage-free option valuation model in the presence of transaction costs. The model considers the trade-off between the choice of lowering costs by trading less often and the choice of reducing the hedging errors by trading more often. This trade-off allows derivation of a trading interval policy. The authors illustrate the model with actual transactions data and offer a procedure for the estimation of a trading interval that minimizes hedging errors and transaction costs. |
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