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We present the pricing and hedging method for options
with general payoffs in the presence of transaction costs. The
convexity of the payoff function - gamma of the options - is an important
issue under transaction costs. When the payoff function is
convex, Leland-style pricing and hedging method still works. However,
if the payoff function is of general form, additional assumptions
on the size of transaction costs or of the hedging interval are
needed. We do not assume that the payoff is convex as in Leland
[11] and the value of the Leland number is less (bigger) than
1 as in Hoggard et al. [10], Avellaneda and Par´as [1]. We focus
on generally recognized asymmetry between the option sellers and
buyers. We decompose an option with general payoff into difference
of two options each of which has a convex payoff. This method is
consistent with a scheme of separating out the seller’s and buyer’s
position of an option. In this paper, we first present a simple linear
valuation method of general payoff options, and also propose in the
last section more efficient hedging scheme which costs less to hedge
options.
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참고문헌 (7)
참고문헌 신청
/ 1971. / An Introduction to Probability Theory and its Application
/ 1973 / The Pricing of Options and Corporate Liabilities 81
/ 1985 / Option Pricing and Replication with Transaction Costs
/ 1989 / Optimal Replication of Contingent Claims underTransaction Costs 8
/ 1992 / Option Replication in Discrete Time with TransactionCosts 47
/ 1973 / The Pricing of Options and Corporate Liabilities 81
/ 1985 / Option Pricing and Replication with Transaction Costs
/ 1989 / Optimal Replication of Contingent Claims underTransaction Costs 8
/ 1992 / Option Replication in Discrete Time with TransactionCosts 47
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