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[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.
  • Classification : 91G20, 60G40, Mathematical finance
  • Format : Talk at Waseda University
  • Author(s) :
    • Xiaoping Lu (University of Wollongong)