Hedging of American options under transaction costs
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 13 (2009)
Issue (Month): 1 (January)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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- Luciano Campi & Walter Schachermayer, 2006. "A super-replication theorem in Kabanov’s model of transaction costs," Finance and Stochastics, Springer, Springer, vol. 10(4), pages 579-596, December.
- Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
- 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.
- Emmanuel Denis & Yuri Kabanov, 2012.
"Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs,"
Finance and Stochastics, Springer,
Springer, vol. 16(1), pages 135-154, January.
- Lépinette-Denis, Emmanuel & Kabanov, Yuri, 2012. "Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs," Economics Papers from University Paris Dauphine 123456789/4652, Paris Dauphine University.
- 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.
- Peter Bank & Frank Riedel, 1999. "Optimal Consumption Choice under Uncertainty with Intertemporal Substitution," GE, Growth, Math methods, EconWPA 9908002, EconWPA.
- 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.
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