American options with gradual exercise under proportional transaction costs
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References listed on IDEAS
- Kabanov, Yu. M. & Stricker, Ch., 2001. "The Harrison-Pliska arbitrage pricing theorem under transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 185-196, April.
- Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
- Alet Roux & Tomasz Zastawniak, 2011. "American and Bermudan options in currency markets under proportional transaction costs," Papers 1108.1910, arXiv.org, revised Jun 2014.
- repec:dau:papers:123456789/1805 is not listed on IDEAS
- Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
- Andreas Lohne & Birgit Rudloff, 2011. "An algorithm for calculating the set of superhedging portfolios in markets with transaction costs," Papers 1107.5720, arXiv.org, revised Dec 2013.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-23 (All new papers)
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