Pricing of the American option in discrete time under proportional transaction costs

DOI10.1007/s001860000097zbMath1173.91387OpenAlexW1971188578MaRDI QIDQ1396958

Marek Kociński

Publication date: 15 July 2003

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860000097

zbMATH Keywords

hedgingAmerican optionself-financing strategyreplicating strategy

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (4)

American and Bermudan options in currency markets with proportional transaction costs ⋮ American contingent claims under small proportional transaction costs ⋮ Arbitrage-free interval of American contingent claims under proportional transaction cost ⋮ American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions

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