Hedging of American options under transaction costs
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- Yuri Kabanov & Dimitri De Vallière & Emmanuel Denis, 2009. "Hedging of American options under transaction costs," Post-Print hal-00488688, HAL.
References listed on IDEAS
- Luciano Campi & Walter Schachermayer, 2006. "A super-replication theorem in Kabanov’s model of transaction costs," Finance and Stochastics, Springer, vol. 10(4), pages 579-596, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- De Angelis, Tiziano & Ferrari, Giorgio, 2014. "A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4080-4119.
- Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2016. "Some mixing properties of conditionally independent processes," Post-Print hal-00670649, HAL.
- 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 9908002, EconWPA.
- Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
- Emmanuel Denis & Yuri Kabanov, 2012.
"Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs,"
Finance and Stochastics,
Springer, vol. 16(1), pages 135-154, January.
- Emmanuel Denis & Yuri Kabanov, 2011. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Post-Print hal-00488288, HAL.
- repec:dau:papers:123456789/4652 is not listed on IDEAS
- 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.
More about this item
KeywordsTransaction costs; American option; Hedging; Coherent price system; 91B28; 60G42; G10;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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