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The critical price for the American put in

โœ Scribed by Damien Lamberton; Mohammed Mikou


Book ID
106235734
Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
443 KB
Volume
12
Category
Article
ISSN
0949-2984

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The American put under transactions cost
โœ Stylianos Perrakis; Jean Lefoll ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 357 KB

This paper examines the optimal super-replication of American put options with physical delivery of the underlying asset, such as stock options, by means of a stock-plus-riskless asset portfolio. The framework of the analysis is the binomial model with proportional transactions costs on stock transa