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

Chaos, Solitons and Fractals

Volumn 31, Issue 2, 2007, Pages 269-279

  Tang, Maoning ^a   Qingxin, Meng ^a   Bo, Wang ^b  

^a HUZHOU UNIVERSITY   (China)

^b WENZHOU MEDICAL UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

COSTS; MARKETING; MATHEMATICAL MODELS; PROBLEM SOLVING; RISK ASSESSMENT; STOCHASTIC CONTROL SYSTEMS;

AMERICAN CONTINGENTS CLAIMS (ACC); PORTFOLIO OPTIMIZATION; TRANSACTION COSTS;

FINANCE;

EID: 33746006586     PISSN: 09600779     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.chaos.2005.09.062     Document Type: Article

References (5)

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2. Kabanov Y.M. Hedging and liquidation under transaction costs in currency markets. Finance Stochast 3 (1999) 237-248
3. Xu S.M., and Zhang Y.Z. The no-arbitrage pricing interval of contingent claims under transaction costs. ACTA Math Appl Sinica 25 (2002) 361-365
4. Xu S.M., and Zhang Y.Z. No-arbitrage fair pricing of contingent claims under transaction costs. Control Theor Appl 21 (2004) 917-921
5. Bo W., and Qingxin M. Hedging American contingent claims with constrained portfolios under proportional transaction costs. Chaos, Solitons & Fractals 23 (2005) 1153-1162