Option replication with large transactions costs

DOI10.1007/S002910050080zbMATH Open0916.90024OpenAlexW3125901216MaRDI QIDQ1283705FDOQ1283705

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

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zbMATH Keywords

dynamic programmingoptionstransaction costssuper-replication

Mathematics Subject Classification ID

Cited In (5)

• 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
• Optimality of the replicating strategy for American options

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