## Petrachenko, On option pricing in binomial market with transaction costs, Finance Stoch

- Y.G.A.V. Melnikov
- 2005

@article{Roux2006ACT, title={A counter-example to an option pricing formula under transaction costs}, author={Alet Roux and Tomasz Zastawniak}, journal={Finance and Stochastics}, year={2006}, volume={10}, pages={575-578} }

- Published 2006 in Finance and Stochastics
DOI:10.1007/s00780-006-0016-2

In the paper by Melnikov and Petrachenko ‘On option pricing in binomial market with transaction costs,’ Finance Stoch. 9 (2005), 141–149, a procedure is put forward for pricing and replicating an arbitrary European contingent claim in the binomial model with bid-ask spreads. We present a counter-example to show that the option pricing formula stated in that… CONTINUE READING

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