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

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dc.creatorMorozovsky, Alexander
dc.date2000-03-24
dc.date2000-04-03
dc.date.accessioned2026-07-07T05:43:53Z
dc.date.available2026-07-07T05:43:53Z
dc.descriptionThe 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.
dc.description10 pages
dc.identifierhttps://arxiv.org/abs/physics/0003054
dc.identifierhttp://arxiv.org/abs/physics/0003054
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/83426
dc.subjectGeneral Physics
dc.titleA new volatility term in the theory of options with transaction costs
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