Boyle, P.P., Vorst, T., 1992, "Option Replication in Discrete Time with Transaction Costs", Journal of Finance, 47 , pp. 271-293 . Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
Valuing American options in the presence of user-defined.. - Jäckel, Rebonato (2000) (Correct)
....a portfolio with partially offsetting positions will incur less total transaction costs than hedging all of the constituent contracts individually. However, it has been shown that a good approximation for the case of noticeable bid offer spread is to use an appropriately increased volatility [Lel85, NK97, BV92, Wil98]. Also, the assumption of linearity is still justifiable in the presence of non negligible bid offer spreads if the portfolio only contains instruments of the same monotonicity of pay offs, i.e. only plain vanilla call options or only plain vanilla put options of different strikes and maturities ....
P. Boyle and T. Vorst. Option replication in discrete time with transaction costs. Journal of Finance, 47:271, 1992.
High order compact finite difference schemes for a.. - Düring.. (2001) (Correct)
....claim. However, the Black Scholes equation has been derived under quite restrictive assumptions (for instance, frictionless, liquid, complete markets) In recent years, nonlinear Black Scholes equations have been derived in order to model transaction costs arising in the hedging of portfolios [1, 6, 9], feedback e ects due to large traders [12, 13, 14, 16, 26, 32] and incomplete markets [22] The derived time continuous models are quasi linear or fully nonlinear parabolic di usion convection equations. In this paper we are interested in the option pricing with transaction costs. In 1973, ....
....due to large traders [12, 13, 14, 16, 26, 32] and incomplete markets [22] The derived time continuous models are quasi linear or fully nonlinear parabolic di usion convection equations. In this paper we are interested in the option pricing with transaction costs. In 1973, Boyle and Vorst [6] derived from a binomial model an option price that takes into account transaction costs and that is equal to a Black Scholes price but with a modi ed volatility of the form = 0 (1 cA) 1=2 ; A = 0 p 4t ; with c = 1. Here, is the proportional transaction cost, 4t the transaction ....
P. Boyle, T. Vorst. Option replication in discrete time with transaction costs. J. Finance 47, 271-293, 1973.
Managing The Volatility Risk Of Portfolios Of Derivative .. - Avellaneda, Parás (1996) (11 citations) (Correct)
....be the case, the assumption is consistent with the worst case scenario approach followed so far. It is well known that the impact of bid offer spreads on Delta hedging costs can be incorporated a priori into the value of derivative securities by adjusting the model volatility (see Leland (1985) Boyle and Vorst (1992), Hoggard, Whalley and Wilmott (1993) Avellaneda and Par as (1994,1995) among others) Accordingly, if the price of the underlying asset follows a geometric Brownian motion with constant volatility oe, the cost of Deltahedging a derivative security, including expected future transaction costs, is ....
Boyle, P.P. and Vorst, T. (1992), Option replication in discrete time with transaction costs, J. Finance, 47, 271-293.
Implicit Solution Of Uncertain Volatility/Transaction Cost.. - Forsyth, Vetzal (1999) (Correct)
....costs (their payoff could always be attained by following the appropriate dynamic trading strategy) A couple of different approaches for handling transaction costs have been proposed. The simplest approach involves assuming that the replicating portfolio is adjusted at fixed points in time (e.g. [15, 5, 20]) More sophisticated models involve determining when to optimally adjust the replicating portfolio (e.g. 10, 8] For present purposes, the simpler approach is of some interest because it leads to a nonlinear PDE of the same form as the uncertain volatility model. Previously, explicit methods ....
P.P. Boyle and T. Vorst. Option replication in discrete time with transaction costs. J. Fin., 47:271--293, 1992.
Dynamic Hedging Portfolios For Derivative Securities In.. - Avellaneda, Parás (1994) (3 citations) (Correct)
.... number corresponds to large transaction costs or to a small interval between rehedgings (small risk) and a small Leland number to small rehedging costs or to a large time interval between rehedgings (large risk) Boyle and Vorst derived a similar option pricing formula using a binomial model [4]. Both approaches are restricted to derivative securities with convex payoffs. In practice, there are many derivative securities of interest which have non convex payoffs. The foremost example is a portfolio of standard options combining short and long positions. Recently, Hoggard, Whalley and ....
P. P. Boyle and T. Vorst, "Option replication in discrete time with transaction costs", Journal of Finance, 47, 271, (1992)
Hedging Options under Transaction Costs and Stochastic.. - Gondzio, Kouwenberg, Vorst (1999) (1 citation) Self-citation (Vorst) (Correct)
No context found.
Boyle P.P. and T. Vorst (1992), Option Replication in Discrete Time with Transaction Costs, Journal of Finance, vol. 47, 271-291.
Hedging Options under Transaction Costs and Stochastic.. - Gondzio, Kouwenberg, Vorst (2000) (1 citation) Self-citation (Vorst) (Correct)
No context found.
Boyle P.P. and T. Vorst (1992), Option Replication in Discrete Time with Transaction Costs, Journal of Finance, vol. 47, 271-291.
Dynamic Portfolio Insurance: A Stochastic Programming Approach - Kouwenberg, Vorst (1998) (2 citations) Self-citation (Vorst) (Correct)
No context found.
Boyle P.P. and T. Vorst (1992), Option Replication in Discrete Time with Transaction Costs, Journal of Finance, vol. 47, 271-291.
Transaction Costs and Non-Markovian Delta Hedging - Albanese, Tompaidis (1995) (Correct)
No context found.
Boyle, P.P., Vorst, T., 1992, "Option Replication in Discrete Time with Transaction Costs", Journal of Finance, 47 , pp. 271-293 .
A Risk-Neutral Parametric Liquidity Model for Derivatives - Bakstein, Howison (Correct)
No context found.
Boyle P. & Vorst T., 1992, Option Replication in Discrete Time with Transaction Costs, The Journal of Finance, 47, 271-293
Securities Transaction Taxes And Financial Markets - Habermeier, Kirilenko (2000) (1 citation) (Correct)
No context found.
Boyle, Phelim P., and Ton Vorst, 1992, Option replication in discrete time with transaction costs, Journal of Finance 67, 271-293.
The Pricing of Derivatives in Illiquid Markets - Bakstein (2001) (1 citation) (Correct)
No context found.
Boyle & Vorst, 1992, Option Replication in Discrete Time with Transaction Costs, The Journal of Finance, 1
Transaction Costs and Non-Markovian Delta Hedging - Albanese, Tompaidis (1995) (Correct)
No context found.
Boyle, P.P., Vorst, T., 1992, "Option Replication in Discrete Time with Transaction Costs", Journal of Finance, 47 , pp. 271-293 .
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC