American options with gradual exercise under proportional transaction costs
Year of publication: |
2014
|
---|---|
Authors: | Roux, Alet ; Zastawniak, Tomasz |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 8, p. 1-36
|
Subject: | American options | transaction costs | mixed stopping times | superhedging | dual representation | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
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