The American put under transactions costs

DOI10.1016/S0165-1889(03)00099-XzbMath1386.91147OpenAlexW2080800974MaRDI QIDQ951505

Jean Lefoll, Stylianos Perrakis

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(03)00099-x

zbMATH Keywords

American optionspricingtransactions costsput

Mathematics Subject Classification ID

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

Related Items (4)

American and Bermudan options in currency markets with proportional transaction costs ⋮ American contingent claims under small proportional 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

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Derivative asset pricing with transaction costs: an extension
• Option pricing and replication with transaction costs and dividends
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Option pricing: A simplified approach

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