AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS (Q2939923): Difference between revisions

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+.2688
@@ Property / arXiv ID: 1308.2688 / rank @@
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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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+Hedging of American options under transaction costs
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+Hedging and liquidation under transaction costs in currency markets
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+The Harrison-Pliska arbitrage pricing theorem under 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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@@ Property / cites work @@
+American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions
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+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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@@ Property / OpenAlex ID @@
+W2963884608
@@ Property / OpenAlex ID: W2963884608 / rank @@
+Normal rank