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American contingent claims under small proportional transaction costs

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  • Tokarz, Krzysztof
  • Zastawniak, Tomasz
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    File URL: http://www.sciencedirect.com/science/article/B6VBY-4M877NK-1/2/7c5b0c78e7ffbe384202618c0073bfe6
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Mathematical Economics.

    Volume (Year): 43 (2006)
    Issue (Month): 1 (December)
    Pages: 65-85

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    Handle: RePEc:eee:mateco:v:43:y:2006:i:1:p:65-85

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    Web page: http://www.elsevier.com/locate/jmateco

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    References

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    1. Temam, Emmanuel & Bouchard, Bruno, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/1805, Paris Dauphine University.
    2. Elyès Jouini, 1997. "Price Functionals with Bid-Ask Spreads : An Axiomatic Approach," Working Papers, Centre de Recherche en Economie et Statistique 97-05, Centre de Recherche en Economie et Statistique.
    3. George M. Constantinides & Thaleia Zariphopoulou, . "Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities."," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago 495, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    4. Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
    5. Lukasz Stettner, 2000. "Option Pricing in Discrete-Time Incomplete Market Models," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 10(2), pages 305-321.
    6. Kallal, Hedi & Jouini, Elyès, 1995. "Martingales and arbitrage in securities markets with transaction costs," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/5630, Paris Dauphine University.
    7. Avellaneda Marco & ParaS Antonio, 1994. "Dynamic hedging portfolios for derivative securities in the presence of large transaction costs," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 1(2), pages 165-194.
    8. Stylianos PERRAKIS & Jean LEFOLL, 1999. "Option Pricing and Replication with Transaction Costs and Dividends," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp8, International Center for Financial Asset Management and Engineering.
    9. Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1991. "Cash Stream Valuation In the Face of Transaction Costs and Taxes," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 1(1), pages 31-54.
    10. (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov, 2002. "No-arbitrage criteria for financial markets with efficient friction," Finance and Stochastics, Springer, Springer, vol. 6(3), pages 371-382.
    11. Boyle, Phelim P & Vorst, Ton, 1992. " Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, American Finance Association, vol. 47(1), pages 271-93, March.
    12. repec:fth:inseep:9513 is not listed on IDEAS
    13. Bernard Bensaid & Jean-Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 2(2), pages 63-86.
    14. Perrakis, Stylianos & Lefoll, Jean, 1997. "Derivative Asset Pricing with Transaction Costs: An Extension," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 10(4), pages 359-76, November.
    15. repec:fth:inseep:9647 is not listed on IDEAS
    16. Nizar Touzi, 1999. "Super-replication under proportional transaction costs: From discrete to continuous-time models," Computational Statistics, Springer, Springer, vol. 50(2), pages 297-320, October.
    17. Leland, Hayne E, 1985. " Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, American Finance Association, vol. 40(5), pages 1283-1301, December.
    18. Perrakis, Stylianos & Lefoll, Jean, 2004. "The American put under transactions costs," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(5), pages 915-935, February.
    19. 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, Cambridge University Press, vol. 28(01), pages 117-138, March.
    20. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, Elsevier, vol. 66(1), pages 178-197, June.
    21. Alexander Melnikov & Yury Petrachenko, 2005. "On option pricing in binomial market with transaction costs," Finance and Stochastics, Springer, Springer, vol. 9(1), pages 141-149, January.
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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, Society for Computational Economics, Society for Computational Economics, vol. 39(1), pages 1-12, January.

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