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American contingent claims under small proportional transaction costs

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  • Tokarz, Krzysztof
  • Zastawniak, Tomasz

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  • Tokarz, Krzysztof & Zastawniak, Tomasz, 2006. "American contingent claims under small proportional transaction costs," Journal of Mathematical Economics, Elsevier, vol. 43(1), pages 65-85, December.
    • Handle: RePEc:eee:mateco:v:43:y:2006:i:1:p:65-85
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    References listed on IDEAS

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    1. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
    2. Leland, Hayne E, 1985. "Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
    3. Edirisinghe, Chanaka & Naik, Vasanttilak & Uppal, Raman, 1993. "Optimal Replication of Options with Transactions Costs and Trading Restrictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 117-138, March.
    4. Perrakis, Stylianos & Lefoll, Jean, 1997. "Derivative Asset Pricing with Transaction Costs: An Extension," Computational Economics, Springer;Society for Computational Economics, vol. 10(4), pages 359-376, November.
    5. Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
    6. Alexander Melnikov & Yury Petrachenko, 2005. "On option pricing in binomial market with transaction costs," Finance and Stochastics, Springer, vol. 9(1), pages 141-149, January.
    7. Jouini, Elyes, 2000. "Price functionals with bid-ask spreads: an axiomatic approach," Journal of Mathematical Economics, Elsevier, vol. 34(4), pages 547-558, December.
    8. Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1991. "Cash Stream Valuation In the Face of Transaction Costs and Taxes," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 31-54, January.
    9. repec:dau:papers:123456789/1805 is not listed on IDEAS
    10. repec:dau:papers:123456789/5630 is not listed on IDEAS
    11. George M. Constantinides & Thaleia Zariphopoulou, 2001. "Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities," Mathematical Finance, Wiley Blackwell, vol. 11(3), pages 331-346, July.
    12. Perrakis, Stylianos & Lefoll, Jean, 2000. "Option pricing and replication with transaction costs and dividends," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1527-1561, October.
    13. Bernard Bensaid & Jean‐Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs1," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 63-86, April.
    14. repec:dau:papers:123456789/5599 is not listed on IDEAS
    15. Walter Schachermayer, 2004. "The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 19-48, January.
    16. Nizar Touzi, 1999. "Super-replication under proportional transaction costs: From discrete to continuous-time models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(2), pages 297-320, October.
    17. Prasad Chalasani & Somesh Jha, 2001. "Randomized Stopping Times and American Option Pricing with Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 33-77, January.
    18. Avellaneda Marco & ParaS Antonio, 1994. "Dynamic hedging portfolios for derivative securities in the presence of large transaction costs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 1(2), pages 165-194.
    19. (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov, 2002. "No-arbitrage criteria for financial markets with efficient friction," Finance and Stochastics, Springer, vol. 6(3), pages 371-382.
    20. repec:crs:wpaper:9647 is not listed on IDEAS
    21. Boyle, Phelim P & Vorst, Ton, 1992. "Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, vol. 47(1), pages 271-293, March.
    22. Perrakis, Stylianos & Lefoll, Jean, 2004. "The American put under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 915-935, February.
    23. repec:crs:wpaper:9513 is not listed on IDEAS
    24. Fulvio Ortu, 2001. "Arbitrage, linear programming and martingales¶in securities markets with bid-ask spreads," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 24(2), pages 79-105, November.
    25. Lukasz Stettner, 2000. "Option Pricing in Discrete‐Time Incomplete Market Models," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 305-321, April.
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    Cited by:

    1. M. Pınar & A. Camcı, 2012. "An Integer Programming Model for Pricing American Contingent Claims under Transaction Costs," Computational Economics, Springer;Society for Computational Economics, vol. 39(1), pages 1-12, January.
    2. Alet Roux & Tomasz Zastawniak, 2016. "Game options with gradual exercise and cancellation under proportional transaction costs," Papers 1612.02312, arXiv.org.
    3. Johannes Gerer & Gregor Dorfleitner, 2018. "Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions," Review of Derivatives Research, Springer, vol. 21(2), pages 175-199, July.

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