AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS

DOI10.1142/S0219024914500526zbMath1309.91142arXiv1308.2688OpenAlexW2963884608MaRDI QIDQ2939923

Alet Roux, Zastawniak, Tomasz

Publication date: 23 January 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.2688

zbMATH Keywords

American optionstransaction costsdual representationsuperhedgingmixed stopping times

Mathematics Subject Classification ID

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

Related Items (3)

Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ Von Neumann–Gale model, market frictions and capital growth

Cites Work

• On the hedging of American options in discrete time markets with proportional transaction costs
• American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions
• Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
• Hedging and liquidation under transaction costs in currency markets
• Hedging of American options under transaction costs
• Randomized Stopping Times and American Option Pricing with Transaction Costs
• The decoupling approach to binomial pricing of multi-asset options
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

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