How Is American Option Optimal Price Affected by Transaction Costs?

Pricing American options under Black-Scholes requires several assumptions regarding market to be made that do not exist in the real-world, intention of this project is to relax assumption of no transaction concepts and determine effects on American option price and it’s optimal value.

Jeremy Sterjovski

University of Wollongong

Jeremy Sterjovski is a student currently enrolled in the University of Wollongong completing a degree in mathematics and finance (Dean’s Scholar). He has completed several mathematical and financial subjects during their university career and wants to extend their understanding further into academic research settings. Jeremy has been a hardworking and dedicated student, constantly applying themselves in academic tasks undertaken.

You may be interested in

Chih Yuan (Yuan) Chan

Chih Yuan (Yuan) Chan

Investigation of the switching threshold in the Switching Observer Model for human perceptual estimation
Pu Ti Dai

Pu Ti Dai

Properties of Brownian Motion
Yifan Guo

Yifan Guo

KZ-Functor for Rational Cherednik Algebras
Annalisa Calvi

Annalisa Calvi

Corollaries of the Gauss-Bonnet Theorem for Surfaces in R^n
Contact Us

We're not around right now. But you can send us an email and we'll get back to you, asap.

Not readable? Change text.