Option Pricing under Generic Market Conditions
7 Pages Posted: 29 Jan 2021
Date Written: December 1, 2020
A Black-Scholes replicating strategy with continuous revisions is no longer optimal or possible in the presence of transaction costs and discrete trading. This paper explores theoretical and practical solutions to revision frequency in a modified replicating strategy.
Keywords: Options, Pricing, Transaction Costs, Discrete Trading
JEL Classification: G12
Suggested Citation: Suggested Citation