European Option Pricing with Transaction Costs

LIU Dao bai. European Option Pricing with Transaction Costs[J]. Chinese Journal of Applied Probability and Statistics, 2000, 16(3): 303-317.

Citation:

LIU Dao bai. European Option Pricing with Transaction Costs[J]. Chinese Journal of Applied Probability and Statistics, 2000, 16(3): 303-317.

Citation:

LIU Dao bai. European Option Pricing with Transaction Costs[J]. Chinese Journal of Applied Probability and Statistics, 2000, 16(3): 303-317.

Abstract

The European option pricing with transaction costs and diffirent interest rate of borrowing and lending problem is investigated. Assuming that the option price is given by market and the investor’s object is to maximize his expected wealth utility, the explicit option price is given.

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