The Pricing and Hedging of Warrants in Taiwan under Transaction Costs

碩士 === 淡江大學 === 財務金融學系 === 87 === The Black-Scholes model assumes that the market is complete and the replicated portfolio is rebalanced continuously. If transaction costs is considered, a discrete-time hedge method under certain financial constraint must be applied. This paper discusses the pricing...

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Bibliographic Details
Main Authors: Jr-Bin Liou, 劉志彬
Other Authors: Tsang-Shyang Lin
Format: Others
Language:zh-TW
Published: 1999
Online Access:http://ndltd.ncl.edu.tw/handle/17074974966490627891