On option pricing in binomial market with transaction costs.
Alexander MelnikovYury G. PetrachenkoPublished in: Finance Stochastics (2005)
Keyphrases
- transaction costs
- option pricing
- stock exchange
- stock price
- black scholes
- stock market
- financial data
- portfolio management
- non stationary
- historical data
- financial time series
- exchange rate
- financial markets
- decision analysis
- search costs
- black scholes model
- news articles
- probabilistic model
- portfolio selection
- short term
- text mining