American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions (Q1028005)
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scientific article
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| English | American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions |
scientific article |
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American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions (English)
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30 June 2009
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The authors study American options in a general discrete market model in the presence of proportional transaction costs, which are modeled as bid-ask spreads. Pricing algorithms and constructions of hedging strategies, stopping times and martingale representations are presented for American options with general payoff, extending on previous results for American puts and calls.
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American options
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transaction costs
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randomised stopping
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superhedging
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0.896676778793335
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0.8934656381607056
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0.8734300136566162
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0.8699049353599548
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