On the pricing of American contingent claims under transaction costs and multiple risky assets

DOI10.1016/j.chaos.2005.09.062zbMath1133.91436OpenAlexW2043273304MaRDI QIDQ2482527

Bo Wang, Qingxin Meng, Mao-ning Tang

Publication date: 17 April 2008

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2005.09.062

Mathematics Subject Classification ID

Cites Work

• Hedging and liquidation under transaction costs in currency markets
• Hedging American contingent claims with constrained portfolios under proportional transaction costs
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
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