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Hedging of American options under transaction costs

Author

Listed:
  • D. Vallière
  • E. Denis
  • Y. Kabanov

Abstract

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Suggested Citation

  • D. Vallière & E. Denis & Y. Kabanov, 2009. "Hedging of American options under transaction costs," Finance and Stochastics, Springer, vol. 13(1), pages 105-119, January.
    • Handle: RePEc:spr:finsto:v:13:y:2009:i:1:p:105-119
    DOI: 10.1007/s00780-008-0076-6
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    References listed on IDEAS

    as
    1. Luciano Campi & Walter Schachermayer, 2006. "A super-replication theorem in Kabanov’s model of transaction costs," Finance and Stochastics, Springer, vol. 10(4), pages 579-596, December.
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    Citations

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    Cited by:

    1. Bank, Peter & Riedel, Frank, 1999. "Optimal consumption choice under uncertainty with intertemporal substitution," SFB 373 Discussion Papers 1999,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2016. "Some mixing properties of conditionally independent processes," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(5), pages 1241-1259, March.
    3. Bruno Bouchard & Erik Taflin, 2010. "No-arbitrage of second kind in countable markets with proportional transaction costs," Papers 1008.3276, arXiv.org, revised Feb 2013.
    4. Emmanuel Denis & Yuri Kabanov, 2012. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Finance and Stochastics, Springer, vol. 16(1), pages 135-154, January.
    5. Huy N. Chau & Miklos Rasonyi, 2024. "A general framework for pricing and hedging under local viability," Papers 2411.19206, arXiv.org.
    6. repec:dau:papers:123456789/4652 is not listed on IDEAS
    7. Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
    8. Saul Jacka & Abdelkarem Berkaoui & Jon Warren, 2006. "No-arbitrage and closure results for trading cones with transaction costs," Papers math/0602178, arXiv.org, revised Apr 2008.
    9. De Angelis, Tiziano & Ferrari, Giorgio, 2014. "A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4080-4119.

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    More about this item

    Keywords

    Transaction costs; American option; Hedging; Coherent price system; 91B28; 60G42; G10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

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