Randomized Stopping Times and American Option Pricing with Transaction Costs (Q2707162)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Randomized Stopping Times and American Option Pricing with Transaction Costs |
scientific article |
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Randomized Stopping Times and American Option Pricing with Transaction Costs (English)
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29 March 2001
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American options
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transaction costs
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randomized stopping times
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martingale measures
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superreplication
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hedging
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pricing
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arbitrage
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incomplete markets
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linear programming
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strong duality
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game theory
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Nash equilibrium
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mixed strategy
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