The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise strategies are presented, together with numerical examples, as well as probabilistic dual representations for the bid and ask price of a game option
A fast numerical algorithm is developed to price European options with proportional transaction cost...
We study the problem of computing the lower hedging price of an American contingent claim in a finit...
Rubbenstroth B. Game Options under Knightian Uncertainty in Discrete Time. Center for Mathematical E...
Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied...
Abstract The paper is devoted to optimal superreplication of European options in the discrete settin...
American options in a multi-asset market model with proportional transaction costs are studied in th...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
In this paper I address the problem of pricing options in the presence of transaction costs. A known...
http://www.brunel.ac.uk/about/acad/sssl/ssslresearch/efwps##2002A fast numerical algorithm is develo...
Cataloged from PDF version of article.We study the problem of computing the lower hedging price of a...
International audienceIn this note, we consider a general discrete time financial market with propor...
The problem of option hedging in the presence of proportional transaction costs can be formulated as...
Conventional wisdom holds that since continuous-time, Black-Scholes hedging is infinitely expensive ...
A duality for robust hedging with proportional transaction costs of path-dependent European options ...
This paper examines the optimal hedging decision of a competitive exporting firm which faces concurr...
A fast numerical algorithm is developed to price European options with proportional transaction cost...
We study the problem of computing the lower hedging price of an American contingent claim in a finit...
Rubbenstroth B. Game Options under Knightian Uncertainty in Discrete Time. Center for Mathematical E...
Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied...
Abstract The paper is devoted to optimal superreplication of European options in the discrete settin...
American options in a multi-asset market model with proportional transaction costs are studied in th...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
In this paper I address the problem of pricing options in the presence of transaction costs. A known...
http://www.brunel.ac.uk/about/acad/sssl/ssslresearch/efwps##2002A fast numerical algorithm is develo...
Cataloged from PDF version of article.We study the problem of computing the lower hedging price of a...
International audienceIn this note, we consider a general discrete time financial market with propor...
The problem of option hedging in the presence of proportional transaction costs can be formulated as...
Conventional wisdom holds that since continuous-time, Black-Scholes hedging is infinitely expensive ...
A duality for robust hedging with proportional transaction costs of path-dependent European options ...
This paper examines the optimal hedging decision of a competitive exporting firm which faces concurr...
A fast numerical algorithm is developed to price European options with proportional transaction cost...
We study the problem of computing the lower hedging price of an American contingent claim in a finit...
Rubbenstroth B. Game Options under Knightian Uncertainty in Discrete Time. Center for Mathematical E...