Randomized Stopping Times and American Option Pricing with Transaction Costs

DOI10.1111/1467-9965.00107zbMath0993.91021OpenAlexW2084854987MaRDI QIDQ2707162

Prasad Chalasani, Somesh Jha

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00107

zbMATH Keywords

game theorylinear programminghedgingsuperreplicationNash equilibriumAmerican optionsincomplete marketstransaction costsarbitragepricingstrong dualityrandomized stopping timesmartingale measuresmixed strategy

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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