Numerical Computation on Path Dependent European Option with Fixed Trade Cost Rate

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Numerical Computation on Path Dependent European Option with Fixed Trade Cost Rate
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                        WU QiangWU Qiang
Risk Management Institution, Tongji University,Shanghai 200092,China
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Abstract:

As for the problem of pricing path dependent European options in a market with transaction costs,the paper presents the discrete schemes based on the Markov chain and modified binomial approximation of the stock price,and shows the convergence of discrete schemes.

Key words:transaction cost; Markov chain; path dependent; constrained viscosity solution; stochastic control

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WU Qiang. Numerical Computation on Path Dependent European Option with Fixed Trade Cost Rate[J].同济大学学报(自然科学版),2009,37(6):

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