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 programmingoptionssuper-replicationtransaction costs

Mathematics Subject Classification ID

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

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