On the hedging of American options in discrete time markets with proportional transaction costs
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Publication:850362
DOI10.1214/EJP.v10-266zbMath1119.91042arXivmath/0502189MaRDI QIDQ850362
Bruno Bouchard, Emmanuel Temam
Publication date: 3 November 2006
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0502189
60G42: Martingales with discrete parameter
60G40: Stopping times; optimal stopping problems; gambling theory
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