An Integer Programming Model for Pricing American Contingent Claims under Transaction Costs
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 39 (2012)
Issue (Month): 1 (January)
American Contingent Claims; Transaction Costs; Mixed-integer Programming; Linear Programming; Martingales; Incomplete Markets; Pricing; Hedging; Dividends;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ioannis Karatzas & (*), S. G. Kou, 1998. "Hedging American contingent claims with constrained portfolios," Finance and Stochastics, Springer, vol. 2(3), pages 215-258.
- 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.
- 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 123456789/1805, Paris Dauphine University.
- Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
- 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(01), pages 117-138, March.
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