Option Pricing and Replication with Transactions Costs
提出一种修正的期权复制策略，该策略依赖于交易成本大小和调整频率，使对冲误差与市场无关且随调整频率增加趋近于零，可用于计算期权复制的交易成本并给出期权价格边界。
ABSTRACT Transactions costs invalidate the Black‐Scholes arbitrage argument for option pricing, since continuous revision implies infinite trading. Discrete revision using Black‐Scholes deltas generates errors which are correlated with the market, and do not approach zero with more frequent revision when transactions costs are included. This paper develops a modified option replicating strategy which depends on the size of transactions costs and the frequency of revision. Hedging errors are uncorrelated with the market and approach zero with more frequent revision. The technique permits calculation of the transactions costs of option replication and provides bounds on option prices.