- Tytuł:
- Optimality of the replicating strategy for American options
- Autorzy:
- Kociński, Marek
- Powiązania:
- https://bibliotekanauki.pl/articles/1338871.pdf
- Data publikacji:
- 1999
- Wydawca:
- Polska Akademia Nauk. Instytut Matematyczny PAN
- Tematy:
-
Cox-Ross-Rubinstein model
replicating strategy
American option - Opis:
- The aim of this paper is to study the problem of optimality of replicating strategies associated with pricing of American contingent claims in the Cox-Ross-Rubinstein model with proportional transaction costs. We show that a replication of the option is always possible. We give sufficient conditions for the existence of a replicating strategy which is optimal, and also show an example of an optimal replicating strategy that is not optimal in the global sense.
- Źródło:
-
Applicationes Mathematicae; 1999, 26, 1; 93-105
1233-7234 - Pojawia się w:
- Applicationes Mathematicae
- Dostawca treści:
- Biblioteka Nauki
Artykuł