Hedging of American options under transaction costs

D. Vallière (), E. Denis () and Y. Kabanov ()
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов and Emmanuel Lépinette

Finance and Stochastics, 2009, vol. 13, issue 1, 105-119

Keywords: Transaction costs; American option; Hedging; Coherent price system; 91B28; 60G42; G10 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (9)

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DOI: 10.1007/s00780-008-0076-6

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