Download This PaperOption Pricing under Generic Market Conditions
7 Pages Posted: 29 Jan 2021
Date Written: December 1, 2020
Abstract
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
Paolucci, Roman, Option Pricing under Generic Market Conditions (December 1, 2020). Available at SSRN: https://ssrn.com/abstract=3745703 or http://dx.doi.org/10.2139/ssrn.3745703
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