The author presents alternatives to the Black-Scholes european call option pricing model by incorporating different transaction cost structures in the replicating strategy. In particular, an exponentially decreasing structure is proposed and developed.
@article{arxiv.2112.10209,
title = {Option Pricing Model with Transaction Costs},
author = {F. G. Bellora and G. Mazzei and M. Maurette},
journal= {arXiv preprint arXiv:2112.10209},
year = {2021}
}