Hedging Of The European Option Under Proportional Transaction Costs

This paper mainly discusses hedging and super-replication of a class of specific options in a discrete time financial market with proportional transaction costs.The model constructed in this paper is on the basis of the classical CRR model which is proposed by Kocinski.In the classical CRR model and the extended CRR model,we discussed the relationship between the two sets of portfolio which allow to hedge an option in cash transactions with European call option,and we proved that this option meets certain conditions when the two hedge portfolio is equivalent.This article also mainly obtained the European call option super-replication costs lower bound by using the theory and methods of Martingale.