American options with gradual exercise under proportional transaction costs

Roux, Alet orcid.org/0000-0001-9176-4468 and Zastawniak, Tomasz (2014) American options with gradual exercise under proportional transaction costs. International Journal of Theoretical and Applied Finance. 1450052. ISSN 0219-0249

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Copyright, Publisher and Additional Information: © World Scientific Publishing Co. This is an author produced version of a paper published in International Journal of Theoretical and Applied Finance. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: American options, transaction costs, mixed stopping times, superhedging, dual representation
Dates:
  • Published (online): 26 December 2014
  • Published: December 2014
Institution: The University of York
Academic Units: The University of York > Faculty of Sciences (York) > Mathematics (York)
Depositing User: Pure (York)
Date Deposited: 07 Dec 2015 15:00
Last Modified: 06 Dec 2023 11:00
Published Version: https://doi.org/10.1142/S0219024914500526
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1142/S0219024914500526

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