彭柏堅臺灣大學：數學研究所林欣亭Lin, Hsin-TingHsin-TingLin2007-11-282018-06-282007-11-282018-06-282005http://ntur.lib.ntu.edu.tw//handle/246246/59502Working in the binomial framework, Boyle and Vorst (1992) derive unique self-financing strategies which perfectly replicate European call and put options for long positions with settlement by delivery, assuming proportional transaction costs on trades in the stocks. Here we consider a more general situation including short positions. First, we give conditions such that a unique replicating portfolio exists in a two-period model for a path independent contingent claim. Then we extend them to the multi-period case, yielding a result which extends the results of Boyle-Vorst to short positions. Furthermore, we conclude that some path independent options which are mixtures of long and short portions, such as spreads, have a unique replicating strategy for multi-period model under some conditions. We also show that long call (put) with cash settlement or with settlement up to the seller has a unique replicating portfolio for multi-period model.Contents -----------------------------------------------ii Abstract ----------------------------------------------iii 1. Introduction -----------------------------------------1 2. Replication of Contingent Claims for the One-period Model with Transaction Costs --------------------------- 4 3. The Main Results -------------------------------------6 4. Short and Mixed Positions in Claims Settled by Delivery ----------------------------------------------19 5. Long Positions in Claims with Cash Settlement or Settlement up to the Seller ----------------------------30 Reference ----------------------------------------------35294459 bytesapplication/pdfen-US選擇權評價交易成本複製策略路徑獨立option pricingtransaction costsoption replicationpath independent contingent claimdiscrete-time binomial modelthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/59502/1/ntu-94-R92221006-1.pdf