ROUX, ALET; ZASTAWNIAK, TOMASZ - In: International Journal of Theoretical and Applied … 17 (2014) 08, pp. 1450052-1
American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomized) stopping time. The introduction of gradual exercise leads to tighter bounds on the option...