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...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1999
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/17074974966490627891 |