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  • In this paper we study lattice models in presence of transaction costs. Transaction costs can be modelled as a fixed charge or a fee proportional to the price of traded assets. Here we suppose only proportional transaction costs. Firstly, we derive the simple binomial model. Secondly, we impose proportional symmetric cost on trading with the risky asset. We develop basic equations for single-period model and also a general one for the intermediate interval of the multi-period model. In this paper we suppose initial zero position and the need of physical delivery at the terminal time. We compare the results to the Boyle and Vorst model of zero initial transaction cost which clearly underestimate the price. However, we show that the absolute amount of the replication capital invested into the risky asset stays the same. We also provide the effect of portfolio model which can be used to explain some frictions at the real market
  • In this paper we study lattice models in presence of transaction costs. Transaction costs can be modelled as a fixed charge or a fee proportional to the price of traded assets. Here we suppose only proportional transaction costs. Firstly, we derive the simple binomial model. Secondly, we impose proportional symmetric cost on trading with the risky asset. We develop basic equations for single-period model and also a general one for the intermediate interval of the multi-period model. In this paper we suppose initial zero position and the need of physical delivery at the terminal time. We compare the results to the Boyle and Vorst model of zero initial transaction cost which clearly underestimate the price. However, we show that the absolute amount of the replication capital invested into the risky asset stays the same. We also provide the effect of portfolio model which can be used to explain some frictions at the real market (en)
  • V článku je studován opční oceňovací model v podobě stromu za přítomnosti transakčních nákladů. Ty mohou být modelovány jako fixní poplatek nebo v proporcionální výši k ceně aktiva. V tomto článku je studována pouze proporcionální podoba. Nejprve je odvozen jednoduchý binomický model. Následně je model zobecněn při zahrnutí vlivu transakčních nákladů. Rovněž dochází k jeho rozšíření v model multiperiodický. Výsledky jsou srovnány s modelem Boyla a Vorsta, kteří neuvažovaly transakční náklady při výchozí investici. Rovněž je ukázán efekt portfoliového modelu. (cs)
Title
  • Binomial model and transaction costs
  • Binomial model and transaction costs (en)
  • Binomický model a transakční náklady (cs)
skos:prefLabel
  • Binomial model and transaction costs
  • Binomial model and transaction costs (en)
  • Binomický model a transakční náklady (cs)
skos:notation
  • RIV/61989100:27510/05:00011845!RIV06-GA0-27510___
http://linked.open.../vavai/riv/strany
  • 494-521
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  • P(GP402/05/P085)
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  • 513802
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  • RIV/61989100:27510/05:00011845
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  • Lattice model; binomial model; option; transaction cost (en)
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  • [C5A65D1FAAD9]
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  • Ostrava, Česká republika
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  • Ostrava
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  • Sborník vybraných příspěvků z 5. mezinárodní konference Finanční řízení podniků a finančních institucí
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  • Tichý, Tomáš
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  • Vysoká škola báňská - Technická univerzita Ostrava. Ekonomická fakulta
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  • 80-248-0938-9
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  • 27510
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