OPTION PRICING AND REPLICATION WITH TRANSACTIONS COSTS

[1] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654

[2] DISCRETELY ADJUSTED OPTION HEDGES [J]. JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (03) : 259 - 282

[3] CONSTANTINIDES G, 1984, CAPITAL MARKET EQUIL

[4] Feller W., 1965, INTRO PROBABILITY TH, VII

[5] THE EFFECTS OF TRANSACTION COSTS AND DIFFERENT BORROWING AND LENDING RATES ON THE OPTION PRICING MODEL - A NOTE [J]. JOURNAL OF FINANCE, 1984, 39 (04) : 1215 - 1221

[6] KANDEL S, 1983, CRSP107 U CHIC WORK

[7] PORTFOLIO SELECTION WITH TRANSACTIONS COSTS [J]. JOURNAL OF ECONOMIC THEORY, 1976, 13 (02) : 245 - 263

[8] VALUATION OF UNCERTAIN INCOME STREAMS AND PRICING OF OPTIONS [J]. BELL JOURNAL OF ECONOMICS, 1976, 7 (02): : 407 - 425

[1] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654

[2] DISCRETELY ADJUSTED OPTION HEDGES [J]. JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (03) : 259 - 282

[3] CONSTANTINIDES G, 1984, CAPITAL MARKET EQUIL

[4] Feller W., 1965, INTRO PROBABILITY TH, VII

[5] THE EFFECTS OF TRANSACTION COSTS AND DIFFERENT BORROWING AND LENDING RATES ON THE OPTION PRICING MODEL - A NOTE [J]. JOURNAL OF FINANCE, 1984, 39 (04) : 1215 - 1221

[6] KANDEL S, 1983, CRSP107 U CHIC WORK

[7] PORTFOLIO SELECTION WITH TRANSACTIONS COSTS [J]. JOURNAL OF ECONOMIC THEORY, 1976, 13 (02) : 245 - 263

[8] VALUATION OF UNCERTAIN INCOME STREAMS AND PRICING OF OPTIONS [J]. BELL JOURNAL OF ECONOMICS, 1976, 7 (02): : 407 - 425