Option replication with large transactions costs

DOI10.1007/S002910050080MaRDI QIDQ1283705zbMATH OpenOpenAlexFDO

Authors Ariane Reiß

Publication date 30 June 1999

Published in OR Spektrum (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/104890

zbMATH Keywords

dynamic programmingoptionstransaction costssuper-replication

Mathematics Subject Classification ID

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Cited in

(5)

• Optimality of the replicating strategy for American options
• Structuring an option to facilitate replication with transaction costs
• Option replication with transaction cost under Knightian uncertainty
• The American put under transactions costs
• Efficient option replication in the presence of transactions costs

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