A counter-example to an option pricing formula under transaction costs.

Alet Roux Tomasz Zastawniak

Published in: Finance Stochastics (2006)

Keyphrases

transaction costs
black scholes
stock exchange
option pricing
stock price
stock market
black scholes model
financial data
financial time series
decision analysis
financial markets
portfolio selection
decision making
machine learning
real option
multi objective
optimal solution