Article ID Journal Published Year Pages File Type
10734374 Chaos, Solitons & Fractals 2005 10 Pages PDF
Abstract
In a general continuous-time market model with constrained portfolios under proportional transaction costs, we derive the upper and lower hedging prices of American contingent claims. Furthermore we have that [hlow(K),hup(K)] is an arbitrage-free interval.
Related Topics
Physical Sciences and Engineering Physics and Astronomy Statistical and Nonlinear Physics
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Hedging American contingent claims with constrained portfolios under proportional transaction costs
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