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The Effects of Transaction Costs and Different Borrowing and Lending Rates on the Option Pricing Model: A Note
Authors:JOHN E GILSTER  WILLIAM LEE
Abstract:This paper modifies the Black-Scholes option pricing model to include the effects of transaction costs and different borrowing and lending rates. The paper demonstrates that these market imperfections tend to offset each other yielding a bounded range of prices for each option. The paper also shows that under some conditions the option pricing hedge may be society's lowest cost financial intermediary.
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