On the hedging of American options in discrete time markets with proportional transaction costs

DOI10.1214/EJP.v10-266zbMath1119.91042arXivmath/0502189MaRDI QIDQ850362

Emmanuel Temam, Bruno Bouchard

Publication date: 3 November 2006

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0502189

Mathematics Subject Classification ID

Related Items (11)

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 contingent claims under small proportional transaction costs ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Pathwise superhedging under proportional transaction costs ⋮ An integer programming model for pricing American contingent claims under transaction costs ⋮ Dynkin's games and Israeli options ⋮ Hedging of game options in discrete markets with transaction costs ⋮ Hedging of American options under transaction costs ⋮ American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions

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