Harry A. Brandt, Visiting Professor, Department of Finance, College of Commerce, University of Illinois at Urbana-Champaign, 340 Commerce-West, 1206 South Sixth Street, Champaign, Illinois 61820, and Professor of Mathematical Economics, Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands, respectively. The authors are grateful to Antoon Pelsser, Jeroen de Munnik, Lijiang Fang, and Ruth Cornale for research assistance and to Philippe Artzner, Giovanni Barone-Adesi, Fischer Black, John E. Gilster Jr., D. C. Heath, Eric Reiner, and Stuart Turnbull for helpful suggestions. The authors thank the referee for useful comments. P. P. B. acknowledges research support from Erasmus University, the J. Page R. Wadsworth Chair at the University of Waterloo, and the Natural Sciences and Engineering Research Council of Canada.
Option Replication in Discrete Time with Transaction Costs
Article first published online: 30 APR 2012
1992 The American Finance Association
The Journal of Finance
Volume 47, Issue 1, pages 271–293, March 1992
How to Cite
BOYLE, P. P. and VORST, T. (1992), Option Replication in Discrete Time with Transaction Costs. The Journal of Finance, 47: 271–293. doi: 10.1111/j.1540-6261.1992.tb03986.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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