The American put under transactions costs
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References listed on IDEAS
- Parkinson, Michael, 1977. "Option Pricing: The American Put," The Journal of Business, University of Chicago Press, vol. 50(1), pages 21-36, January.
- Perrakis, Stylianos & Lefoll, Jean, 2000.
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- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Nan Zhang & Alet Roux & Tomasz Zastawniak, 2011. "Parallel Binomial American Option Pricing with (and without) Transaction Costs," Papers 1110.2477, arXiv.org.
- Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
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