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American contingent claims under small proportional transaction costs

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  • Tokarz, Krzysztof
  • Zastawniak, Tomasz

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  • 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.
  • Handle: RePEc:eee:mateco:v:43:y:2006:i:1:p:65-85
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    References listed on IDEAS

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    1. repec:dau:papers:123456789/5630 is not listed on IDEAS
    2. George M. Constantinides & Thaleia Zariphopoulou, 2001. "Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities," Mathematical Finance, Wiley Blackwell, pages 331-346.
    3. repec:crs:wpaper:9513 is not listed on IDEAS
    4. Perrakis, Stylianos & Lefoll, Jean, 2000. "Option pricing and replication with transaction costs and dividends," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1527-1561, October.
    5. Jouini, Elyes, 2000. "Price functionals with bid-ask spreads: an axiomatic approach," Journal of Mathematical Economics, Elsevier, pages 547-558.
    6. Leland, Hayne E, 1985. " Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
    7. 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.
    8. Bernard Bensaid & Jean-Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 63-86.
    9. Perrakis, Stylianos & Lefoll, Jean, 1997. "Derivative Asset Pricing with Transaction Costs: An Extension," Computational Economics, Springer;Society for Computational Economics, vol. 10(4), pages 359-376, November.
    10. Avellaneda Marco & ParaS Antonio, 1994. "Dynamic hedging portfolios for derivative securities in the presence of large transaction costs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 1(2), pages 165-194.
    11. Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
    12. (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov, 2002. "No-arbitrage criteria for financial markets with efficient friction," Finance and Stochastics, Springer, vol. 6(3), pages 371-382.
    13. repec:crs:wpaper:9647 is not listed on IDEAS
    14. Alexander Melnikov & Yury Petrachenko, 2005. "On option pricing in binomial market with transaction costs," Finance and Stochastics, Springer, vol. 9(1), pages 141-149, January.
    15. Lukasz Stettner, 2000. "Option Pricing in Discrete-Time Incomplete Market Models," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 305-321.
    16. repec:spr:compst:v:50:y:1999:i:2:p:297-320 is not listed on IDEAS
    17. Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1991. "Cash Stream Valuation In the Face of Transaction Costs and Taxes," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 31-54.
    18. Boyle, Phelim P & Vorst, Ton, 1992. " Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, vol. 47(1), pages 271-293, March.
    19. Perrakis, Stylianos & Lefoll, Jean, 2004. "The American put under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 915-935, February.
    20. repec:dau:papers:123456789/1805 is not listed on IDEAS
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    Cited by:

    1. Alet Roux & Tomasz Zastawniak, 2016. "Game options with gradual exercise and cancellation under proportional transaction costs," Papers 1612.02312, arXiv.org.
    2. M. Pınar & A. Camcı, 2012. "An Integer Programming Model for Pricing American Contingent Claims under Transaction Costs," Computational Economics, Springer;Society for Computational Economics, vol. 39(1), pages 1-12, January.

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