American contingent claims under small proportional transaction costs

DOI10.1016/J.JMATECO.2006.09.003zbMATH Open1151.91549OpenAlexW1978740637MaRDI QIDQ861832FDOQ861832

Authors: Krzysztof Tokarz, Tomasz Zastawniak 

Publication date: 2 February 2007

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2006.09.003

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zbMATH Keywords

transaction costsAmerican options

Mathematics Subject Classification ID

Cites Work

• On the possibility of hedging options in the presence of transaction costs
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• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• On the hedging of American options in discrete time markets with proportional transaction costs
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• The American put under transactions costs
• Title not available (Why is that?)
• Limit theorem on option replication cost with transaction costs
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• On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
• Cash Stream Valuation In the Face of Transaction Costs and Taxes
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• Hedging of the European option in discrete time under proportional transaction costs
• Title not available (Why is that?)
• On option pricing in binomial market with transaction costs
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Cited In (13)

• American and Bermudan options in currency markets with proportional transaction costs
• Title not available (Why is that?)
• American options with gradual exercise under proportional transaction costs
• Stochastic Dominance Bounds on American Option Prices in Markets with Frictions
• An integer programming model for pricing American contingent claims under transaction costs
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions
• Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions
• PRICING OF EUROPEAN AND AMERICAN CLAIMS IN THE CRR MODEL WITH FIXED PLUS - CONCAVE TRANSACTION COSTS
• Game options with gradual exercise and cancellation under proportional transaction costs
• A counter-example to an option pricing formula under transaction costs
• Computational methods for incentive option valuation
• Contingent claims on assets with conversion costs.

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