| Purdue Computational Finance Program | |
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Jump Diffusion Option with Transaction Costs
February 7, 2003 |
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Abstract:
We develop a method for pricing a long and a short position in a European option on jump diffusion process, when the jump component of the stock return represents "non-systematic" risk, inclusive of transaction costs. We compute the total transaction costs and the turnover for different options, transaction costs, and revision intervals. |
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2003 Purdue University Last Update: Feb 4, 2003 Please send comments and suggestions to the Webmaster. |