Pricing of the American option in discrete time under proportional transaction costs

被引：0
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作者：
Marek Kociński
机构：
[1] Department of Mathematical Statistics and Experimentation,
[2] Warsaw Agricultural University,undefined
[3] Rakowiecka 26/30,undefined
[4] 02-528 Warszawa,undefined
[5] Poland (E-mail: kocinski@delta.sggw.waw.pl),undefined
来源：
Mathematical Methods of Operations Research | 2001年 / 53卷
关键词：
Key words: American option; self-financing strategy; hedging; replicating strategy; 1991 Mathematics Subject Classification: Primary 90A12; Secondary 93E20;
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摘要：
In the paper pricing of the American option in a discrete time financial market with proportional transaction costs is studied. Lower bound for the price of the American contingent claim is obtained. Under sufficiently small transaction costs the formula for the cost of a strategy that replicates an option is given and equivalence of replication and option prices is shown. Pricing for a special class of the American options in the Cox-Ross-Rubinstein model is also considered.
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页码：67 / 88
页数：21
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