Option Replication in Discrete Time with Transaction Costs
在离散时间框架下讨论带交易成本的期权复制，扩展了Cox-Ross-Rubinstein二项式期权定价模型，推导出类似Black-Scholes的近似公式，并通过数值验证其准确性。
ABSTRACT Option replication is discussed in a discrete‐time framework with transaction costs. The model represents an extension of the Cox‐Ross‐Rubinstein binomial option pricing model to cover the case of proportional transaction costs. The method proceeds by constructing the appropriate replicating portfolio at each trading interval. Numerical values of these prices are presented for a range of parameter values. The paper derives a simple Black‐Scholes type approximation for the option prices with transaction costs and demonstrates numerically that it is quite accurate for plausible parameter values.