American contingent claims under small proportional transaction costs

DOI10.1016/j.jmateco.2006.09.003zbMath1151.91549OpenAlexW1978740637MaRDI QIDQ861832

Krzysztof Tokarz, Zastawniak, Tomasz

Publication date: 2 February 2007

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2006.09.003

zbMATH Keywords

American optionstransaction costs

Mathematics Subject Classification ID

Related Items (7)

American and Bermudan options in currency markets with proportional transaction costs ⋮ 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 ⋮ A counter-example to an option pricing formula under transaction costs ⋮ An integer programming model for pricing American contingent claims under transaction costs ⋮ Options under proportional transaction costs: An algorithmic approach to pricing and hedging ⋮ American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions

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