A new volatility term in the theory of options with transaction costs

Details A new volatility term in the theory of options with transaction costs A new volatility term in the theory of options with transaction costs

2000-03-24

arxiv.org/abs/physics/0003054v2

Physics

General Physics

10 pages

Scientific paper

The introduction of transaction costs into the theory of option pricing could
lead not only to the change of return for options, but also to the change of
the volatility. On the base of assumption of the portfolio analysis, a new
equation for option pricing with transaction costs is derived. A new solution
for the option price is obtained for the time close to expiration date.

Affiliated with

Also associated with

No associations

Rating

A new volatility term in the theory of options with transaction costs does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A new volatility term in the theory of options with transaction costs, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A new volatility term in the theory of options with transaction costs will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-370573