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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this paper we study in particularly lattice models in presence of transaction costs. Transaction costs can be modeled as a fixed charge or a fee proportional to the price of traded assets. Here we suppose only proportional transaction costs. We impose proportional symmetric cost on trading with the risky asset. We develop basic equations for a 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. The most important result of the paper is to provide the effect of portfolio model which can be used to explain some frictions at the real market. In this paper we study in particularly lattice models in presence of transaction costs. Transaction costs can be modeled as a fixed charge or a fee proportional to the price of traded assets. Here we suppose only proportional transaction costs. We impose proportional symmetric cost on trading with the risky asset. We develop basic equations for a 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. The most important result of the paper is to provide the effect of portfolio model which can be used to explain some frictions at the real market. (en) In this paper we study in particularly lattice models in presence of transaction costs. Transaction costs can be modeled as a fixed charge or a fee proportional to the price of traded assets. Here we suppose only proportional transaction costs. We impose proportional symmetric cost on trading with the risky asset. We develop basic equations for a 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. The most important result of the paper is to provide the effect of portfolio model which can be used to explain some frictions at the real market. (cs)
Title	Transaction costs and option portfolio Transaction costs and option portfolio (en) Transaction costs and option portfolio (cs)
skos:prefLabel	Transaction costs and option portfolio Transaction costs and option portfolio (en) Transaction costs and option portfolio (cs)
skos:notation	RIV/61989100:27510/06:00013497!RIV07-GA0-27510___
http://linked.open.../vavai/riv/strany	1-8
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GP402/05/P085)
http://linked.open...vai/riv/dodaniDat	2007
http://linked.open...aciTvurceVysledku	Tichý, Tomáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	504149
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/06:00013497
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Lattice model; binomial model; option; transaction cost; portfolio effect (en)
http://linked.open.../riv/klicoveSlovo	option portfolio effect Lattice model - Elasto-brittle elements - Non-proportional load-path - Stiffness recovery - Aggregate interlocking binomial model transaction cost
http://linked.open...ontrolniKodProRIV	[A12382DC51CE]
http://linked.open...i/riv/mistoVydani	Pilsen
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Application of replication methods in pricing and hedging of financial derivatives at non-perfect market
http://linked.open...UplatneniVysledku	2006
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš
number of pages	8 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Západočeská univerzita v Plzni
https://schema.org/isbn	80-7043-480-5
http://localhost/t...ganizacniJednotka	27510

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