We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS.
- Authors
ROUX, ALET; ZASTAWNIAK, TOMASZ
- Abstract
American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomized) stopping time. The introduction of gradual exercise leads to tighter bounds on the option price when compared to the case studied in the existing literature, where the standard assumption is that the option can only be exercised instantly at an ordinary stopping time. Algorithmic constructions for the bid and ask prices and the associated superhedging strategies and optimal mixed stopping times for an American option with gradual exercise are developed and implemented, and dual representations are established.
- Subjects
AMERICA; OPTIONS sales &; prices (Finance); TRANSACTION costs; ASSETS (Accounting); MATHEMATICAL bounds; HEDGING (Finance); ASKED price
- Publication
International Journal of Theoretical & Applied Finance, 2014, Vol 17, Issue 8, p-1
- ISSN
0219-0249
- Publication type
Article
- DOI
10.1142/S0219024914500526