Optimality of the replicating strategy for American options

DOI10.4064/AM-26-1-93-105MaRDI QIDQ4522955zbMATH OpenOpenAlexFDO

Authors Marek Kociński

Publication date 7 January 2001

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/219228

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20)

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Cited in

(7)

• American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions
• American and Bermudan options in currency markets with proportional transaction costs
• A construction of admissible strategies for American options associated with piecewise continuous processes
• Optimality of replication in the CRR model with transaction costs
• scientific article; zbMATH DE number 1985272 (Why is no real title available?)
• American contingent claims under small proportional transaction costs
• The American put under transactions costs

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