Pricing of the American option in discrete time under proportional transaction costs
Year of publication: |
2001
|
---|---|
Authors: | Kociński, Marek |
Published in: |
Computational Statistics. - Springer. - Vol. 53.2001, 1, p. 67-88
|
Publisher: |
Springer |
Subject: | American option | self-financing strategy | hedging | replicating strategy | 1991 Mathematics Subject Classification: Primary 90A12 | Secondary 93E20 |
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