American and Bermudan options in currency markets with proportional transaction costs (Q267772): Difference between revisions

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+DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>
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+Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
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+On the hedging of American options in discrete time markets with proportional transaction costs
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+Randomized Stopping Times and American Option Pricing with Transaction Costs
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+THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS
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+Hedging of American options under transaction costs
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+Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
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+American contingent claims under small proportional transaction costs
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+Hedging and liquidation under transaction costs in currency markets
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+Non-arbitrage criteria for financial markets with efficient friction
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+The Harrison-Pliska arbitrage pricing theorem under transaction costs
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+Optimality of the replicating strategy for American options
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+Pricing of the American option in discrete time under proportional transaction costs
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+The decoupling approach to binomial pricing of multi-asset options
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+AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS
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+A Note on the Boyle–Vorst Discrete‐Time Option Pricing Model with Transactions Costs
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+Derivative asset pricing with transaction costs: an extension
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+Option pricing and replication with transaction costs and dividends
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+The American put under transactions costs
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+Options under proportional transaction costs: An algorithmic approach to pricing and hedging
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+American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions
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+Optimality of replication in the CRR model with transaction costs
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+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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