IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

American contingent claims under small proportional transaction costs

  • Tokarz, Krzysztof
  • Zastawniak, Tomasz
Registered author(s):

    No abstract is available for this item.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.sciencedirect.com/science/article/B6VBY-4M877NK-1/2/7c5b0c78e7ffbe384202618c0073bfe6
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Elsevier in its journal Journal of Mathematical Economics.

    Volume (Year): 43 (2006)
    Issue (Month): 1 (December)
    Pages: 65-85

    as
    in new window

    Handle: RePEc:eee:mateco:v:43:y:2006:i:1:p:65-85
    Contact details of provider: Web page: http://www.elsevier.com/locate/jmateco

    References listed on IDEAS
    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.:

    as in new window
    1. Boyle, Phelim P & Vorst, Ton, 1992. " Option Replication in Discrete Time with Transaction Costs," Journal of Finance, American Finance Association, vol. 47(1), pages 271-93, March.
    2. Leland, Hayne E, 1985. " Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
    3. 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.
    4. Lukasz Stettner, 2000. "Option Pricing in Discrete-Time Incomplete Market Models," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 305-321.
    5. Kallal, Hedi & Jouini, Elyès, 1995. "Martingales and arbitrage in securities markets with transaction costs," Economics Papers from University Paris Dauphine 123456789/5630, Paris Dauphine University.
    6. 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.
    7. 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.
    8. George M. Constantinides & Thaleia Zariphopoulou, . "Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities."," CRSP working papers 495, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    9. repec:fth:inseep:9647 is not listed on IDEAS
    10. Perrakis, Stylianos & Lefoll, Jean, 1997. "Derivative Asset Pricing with Transaction Costs: An Extension," Computational Economics, Society for Computational Economics, vol. 10(4), pages 359-76, November.
    11. Elyès Jouini, 1999. "Price Functionals with Bid-Ask Spreads: An Axiomatic Approach," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-038, New York University, Leonard N. Stern School of Business-.
    12. 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.
    13. 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.
    14. repec:fth:inseep:9513 is not listed on IDEAS
    15. repec:spr:compst:v:50:y:1999:i:2:p:297-320 is not listed on IDEAS
    16. Stylianos PERRAKIS & Jean LEFOLL, 1999. "Option Pricing and Replication with Transaction Costs and Dividends," FAME Research Paper Series rp8, International Center for Financial Asset Management and Engineering.
    17. Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
    18. 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.
    19. 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.
    20. (**), 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.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:eee:mateco:v:43:y:2006:i:1:p:65-85. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.