OPTION PRICING AND REPLICATION WITH TRANSACTIONS COSTS

被引：438

作者：

LELAND, HE

机构：

来源：

关键词：

D O I：

10.2307/2328113

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：1283 / 1301

页数：19

共 8 条

[1] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

[2] DISCRETELY ADJUSTED OPTION HEDGES [J].

BOYLE, PP ;

EMANUEL, D .

[3]

CONSTANTINIDES G, 1984, CAPITAL MARKET EQUIL

[4]

Feller W., 1965, INTRO PROBABILITY TH, VII

GILSTER, JE ;

LEE, W .

[6]

KANDEL S, 1983, CRSP107 U CHIC WORK

[7] PORTFOLIO SELECTION WITH TRANSACTIONS COSTS [J].

MAGILL, MJP ;

CONSTANTINIDES, GM .

[8] VALUATION OF UNCERTAIN INCOME STREAMS AND PRICING OF OPTIONS [J].

RUBINSTEIN, M .

BELL JOURNAL OF ECONOMICS, 1976, 7 (02) :407-425