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On the Hedging of American Options in Discrete Time with Proportional Transaction Costs |
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Bruno Bouchard, Université Paris 6 and CREST, France Emmanuel Teman, Université Paris 6, France |
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Full text: PDF Pages: 746-760 Published on: July 14, 2005 |
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Bibliography 1. P. Chalasani and S. Jha. Randomized stopping times and american option pricing with transaction costs. Mathematical Finance, 11 1 (2001). Math. Review 2002c:91057 2. F. Delbaen and W. Schachermayer. A general version of the fundamental theorem of asset pricing. Mathematische Annalen, 300 (1994) ,463--520. Math. Review 95m:90022b 3. Y. Kabanov and C. Stricker. A teachers' note on no-arbitrage criteria. Séminaire de Probabilités XXXV, Lect. Notes Math. 1755 (2001), Springer, 149--152. Math. Review 2003c:60073 4. Y. Kabanov and C. Stricker. The Harisson-Pliska arbitrage pricing theorem under transaction costs. J. Math. Econ., 35 2 (2001), 185--196. Math. Review 2002b:91052 5. Y. Kabanov, M. Rásonyi and C. Stricker. No arbitrage criteria for financial markets with efficient friction. Finance and Stochastics, 6 3 (2002), 371--382. Math. Review 2003i:91053 6. Y. Kabanov, M. Rásonyi and C. Stricker. On the closedness of sums of convex cones in L0 and the robust no-arbitrage property. Finance and Stochastics, 7 3 (2003), 403--411. Math. Review 2004d:60109 7. I. Penner. Arbitragefreiheit in Finanzmärkten mit Transaktionkosten. Diplomarbeit, Humboldt-Universität zu Berlin, (2001). 8. M. Rásonyi. On certain problems of arbitrage theory in discrete time financial market models. PhD thesis, Université de Franche-Comté, Besaçon, (2002). 9. T. Rockafellar. Convex analysis. Princeton University Press, (1970). 10. W. Schachermayer. The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time, Mathematical Finance, 14 1 (2004) 19--48. Math. Review 2005a:91067 |
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