Pricing of the American option in discrete time under proportional transaction costs

Mathematical Methods of Operations Research

Volumn 53, Issue 1, 2001, Pages 67-88

  Kociński, Marek ^a  

^a WARSAW UNIVERSITY OF LIFE SCIENCES   (Poland)

Author keywords

American option; Hedging; Replicating strategy; Self financing strategy

Indexed keywords

EID: 0343772999     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001860000097     Document Type: Article

References (8)

1. Dellacherie C, Meyer P (1982) Probabilities and potential B. North-Holland, Amsterdam
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4. Koehl P-F, Pham H, Touzi N (1997) On super-replication in discrete time under transaction costs. Preprint
5. Lamberton D (1996) American options. Preprint
6. Neveu J (1975) Discrete-parameter martingales. North Holland. Amsterdam
7. Rutkowski M (1998) Optimality of replication in the CRR model with transaction costs. Appl Math 25:29-53
8. Stettner Ł (1997) Option pricing in the CRR model with proportional transaction costs: A cone transformation approach. Appl Math 24:475-514