Hedging of American options under transaction costs

DOI10.1007/s00780-008-0076-6zbMath1199.91177OpenAlexW3123888023MaRDI QIDQ2271728

Yanyan Li

Publication date: 8 August 2009

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-008-0076-6

zbMATH Keywords

hedgingtransaction costsAmerican optioncoherent price system

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (13)

American and Bermudan options in currency markets with proportional transaction costs ⋮ Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions ⋮ AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Asymptotic arbitrage in large financial markets with friction ⋮ No-arbitrage of second kind in countable markets with proportional transaction costs ⋮ A Complement to the Grigoriev Theorem for the Kabanov Model ⋮ Unnamed Item ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ General financial market model defined by a liquidation value process ⋮ Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs ⋮ A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis ⋮ VECTOR-VALUED COHERENT RISK MEASURE PROCESSES

Cites Work

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• On the hedging of American options in discrete time markets with proportional transaction costs
• A super-replication theorem in Kabanov's model of transaction costs
• Hedging and liquidation under transaction costs in currency markets
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Randomized Stopping Times and American Option Pricing with Transaction Costs
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model

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