A new volatility term in the theory of options with transaction costs
General Physics
2007-05-23 v2
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.
Cite
@article{arxiv.physics/0003054,
title = {A new volatility term in the theory of options with transaction costs},
author = {Alexander Morozovsky},
journal= {arXiv preprint arXiv:physics/0003054},
year = {2007}
}
Comments
10 pages