[02592] Pricing American barrier options with transaction costs
Session Time & Room : 4E (Aug.24, 17:40-19:20) @D505
Type : Contributed Talk
Abstract : When transaction costs in trading underlying stocks are considered, far more modelling effort is needed for pricing
options, as a unique fair price between the holder and writer no longer exists. It becomes even more complicated for
American and exotic options. In this talk, we shall discuss the valuation of American barrier options with transaction
costs and examine the impact of transaction costs on option pricing, particularly on how they affect the optimal
exercise boundary.
