(1) Katedra Ekonometrii i Informatyki, Wydzia Ekonomiczno-Rolniczy, Szkoa Gówna Gospodarstwa Wiejskiego ul, Nowoursynowska 166,, 02-787 Warszawa, Poland
Abstract:
In the paper hedging of the European option in a discrete time financial market with proportional transaction costs is studied. It is shown that for a certain class of options the set of portfolios which allow to hedge an option in a discrete time model with a bounded set of possible changes in a stock price is the same as the set of such portfolios, under assumption that the stock price evolution is given by a suitable CRR model.