Pricing of the American option in discrete time under proportional transaction costs (Q1396958): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s001860000097 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1971188578 / rank | |||
Normal rank | |||
Revision as of 19:25, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of the American option in discrete time under proportional transaction costs |
scientific article |
Statements
Pricing of the American option in discrete time under proportional transaction costs (English)
0 references
15 July 2003
0 references
American option
0 references
self-financing strategy
0 references
hedging
0 references
replicating strategy
0 references
