dorsal/arxiv
View SchemaA new volatility term in the theory of options with transaction costs
| Authors | Alexander Morozovsky |
|---|---|
| Categories | |
| ArXiv ID | physics/0003054 |
| URL | https://arxiv.org/abs/physics/0003054 |
Abstract
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.
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"abstract": "The introduction of transaction costs into the theory of option pricing could\nlead not only to the change of return for options, but also to the change of\nthe volatility. On the base of assumption of the portfolio analysis, a new\nequation for option pricing with transaction costs is derived. A new solution\nfor the option price is obtained for the time close to expiration date.",
"arxiv_id": "physics/0003054",
"authors": [
"Alexander Morozovsky"
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"title": "A new volatility term in the theory of options with transaction costs",
"url": "https://arxiv.org/abs/physics/0003054"
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