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Hedging of American options under transaction costs

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Author Info

  • D. Vallière

    ()

  • E. Denis

    ()

  • Y. Kabanov

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-008-0076-6
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Bibliographic Info

Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 13 (2009)
Issue (Month): 1 (January)
Pages: 105-119

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Handle: RePEc:spr:finsto:v:13:y:2009:i:1:p:105-119

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Web page: http://www.springerlink.com/content/101164/

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Related research

Keywords: Transaction costs; American option; Hedging; Coherent price system; 91B28; 60G42; G10;

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References

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  1. 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.
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Cited by:
  1. Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
  2. 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.
  3. 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.
  4. 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.
  5. 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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