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Path-Dependent Options and Transaction Costs
J. N. Dewynne, A. E. Whalley and P. Wilmott
Philosophical Transactions: Physical Sciences and Engineering
Vol. 347, No. 1684, Mathematical Models in Finance (Jun. 15, 1994), pp. 517-529
Published by: Royal Society
Stable URL: http://www.jstor.org/stable/54362
Page Count: 13
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We describe research in the subjects of exotic option pricing and option pricing when trade in the underlying incurs transaction costs. These two subjects are then formally brought together to model, in terms of differential equations, problems in pricing exotic options with transaction costs. Results are presented in several cases.
Philosophical Transactions: Physical Sciences and Engineering © 1994 Royal Society