THERE IS NO NONTRIVIAL HEDGING PORTFOLIO FOR OPTION PRICING WITH TRANSACTION COSTS
成果类型：
Article
署名作者：
Soner, H. M.; Shreve, S. E.; Cvitanic, J.
署名单位：
Carnegie Mellon University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177004767
发表日期：
1995
页码：
327-355
关键词：
摘要：
Conventional wisdom holds that since continuous-time, Black-Scholes hedging is infinitely expensive in a model with proportional transaction costs, there is no continuous-time strategy which hedges a European call option perfectly. Of course, if one is attempting to dominate the European call rather than replicate it, then one can use the trivial strategy of buying one share of the underlying stock and holding to maturity. In this paper we prove that this is, in fact, the least expensive method of dominating a European call in a Black-Scholes model with proportional transaction costs.
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