LIMIT THEOREM ON OPTION REPLICATION COST WITH TRANSACTION COSTS
成果类型：
Article
署名作者：
Kusuoka, Shigeo
署名单位：
University of Tokyo
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177004836
发表日期：
1995
页码：
198-221
关键词：
摘要：
Option replication in a discrete-time framework with transaction costs and its limit is discussed. First the notion of an efficient strategy is introduced, and then it is shown that an efficient strategy is the best strategy if it exists. It is also shown that the limit of the cost for option replication is given by a certain formula when the unit of time Delta t tends to zero and the transaction costs tends to zero on the order of root Delta t.