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dc.contributor.authorAiyer, Ajay Subramanianen_US
dc.date.accessioned2007-04-04T16:32:01Z
dc.date.available2007-04-04T16:32:01Z
dc.date.issued1996-09en_US
dc.identifier.citationhttp://techreports.library.cornell.edu:8081/Dienst/UI/1.0/Display/cul.tc/96-261en_US
dc.identifier.urihttps://hdl.handle.net/1813/5591
dc.description.abstractIn this paper, we study the problem of European option pricing in the presence of fixed transaction costs. The problems of optimal portfolio selection and option pricing in the presence of proportional transaction costs has been extensively studied in the mathematical finance literature. However, much less is known when we have fixed transaction costs. In this paper, we show that calculating the price of an European optioninvolves calculating the value functions of two stochastic impulse control problems and we obtain the explicit expressions for the resultant quasi-variational ine qualities satisfied by the value functions and then carry out a numerical calculation of the option price.en_US
dc.format.extent202870 bytes
dc.format.extent142212 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypeapplication/postscript
dc.language.isoen_USen_US
dc.publisherCornell Universityen_US
dc.subjecttheory centeren_US
dc.titleEuropean Option Pricing with Fixed Transaction Costsen_US
dc.typetechnical reporten_US


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