American contingent claims under small proportional transaction costs (Q861832)

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American contingent claims under small proportional transaction costs

scientific article; zbMATH DE number 5121381

Language	Label	Description	Also known as
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English	American contingent claims under small proportional transaction costs	scientific article; zbMATH DE number 5121381

Statements

instance of

scholarly article

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title

American contingent claims under small proportional transaction costs (English)

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Journal of Mathematical Economics

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publication date

2 February 2007

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zbMATH Keywords

American options

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transaction costs

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jmateco.2006.09.003

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cites work

Dynamic hedging portfolios for derivative securities in the presence of large transaction costs

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DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1

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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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Stochastic Dominance Bounds on American Option Prices in Markets with Frictions

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Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities

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HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12

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A closed-form solution to the problem of super-replication under transaction costs

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Q4868513

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Cash Stream Valuation In the Face of Transaction Costs and Taxes

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Stochastic finance. An introduction in discrete time

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The super-replication problem via probabilistic methods

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Martingales and arbitage in securities markets with transaction costs

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Price functionals with bid-ask spreads: An axiomatic approach

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Optimality of the replicating strategy for American options

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Pricing of the American option in discrete time under proportional transaction costs

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Hedging of the European option in discrete time under proportional transaction costs

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Hedging in discrete time under transaction costs and continuous-time limit

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On Super-Replication in Discrete Time under Transaction Costs

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Non-arbitrage criteria for financial markets with efficient friction

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On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property

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The Harrison-Pliska arbitrage pricing theorem under transaction costs

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Limit theorem on option replication cost with transaction costs

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On the possibility of hedging options in the presence of transaction costs

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On option pricing in binomial market with transaction costs

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Q4218382

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Q4335866

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Arbitrage, linear programming and martingales in securities markets with bid-ask spreads

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A note on the Boyle-Vorst discrete-time option pricing model with transactions costs.

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Derivative asset pricing with transaction costs: an extension

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Option pricing and replication with transaction costs and dividends

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The American put under transactions costs

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Options under proportional transaction costs: An algorithmic approach to pricing and hedging

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Optimality of replication in the CRR model with transaction costs

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The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

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There is no nontrivial hedging portfolio for option pricing with transaction costs

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Option pricing in the CRR model with proportional transaction costs: a cone transformation approach

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Option pricing in discrete-time incomplete market models

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Super-replication under proportional transaction costs: From discrete to continuous-time models

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Identifiers

zbMATH Open document ID

1151.91549

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Mathematics Subject Classification ID

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10.1016/J.JMATECO.2006.09.003

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Sitelinks

Mathematics(1 entry)

mardi American contingent claims under small proportional transaction costs