American contingent claims under small proportional transaction costs
نویسندگان
چکیده
منابع مشابه
American Contingent Claims with Physical Delivery under Small Proportional Transaction Costs
American options exercised by physical delivery of a portfolio of cash and underlying stock are considered in the binary tree model under small proportional transaction costs. Dynamic programming type recursive algorithms are developed for computing the ask and bid prices of such options, extending the Snell envelope construction. Representations of the ask and bid prices of American options wi...
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We present a parallel algorithm that computes the ask and bid prices of an American option when proportional transaction costs apply to trading in the underlying asset. The algorithm computes the prices on recombining binomial trees, and is designed for modern multi-core processors. Although parallel option pricing has been well studied, none of the existing approaches takes transaction costs i...
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In the Black-Scholes model optimal trading for maximizing expected power utility under proportional transaction costs can be described by three intervals B, NT , S: If the proportion of wealth invested in the stocks lies in B, NT , S, then buying, not trading and selling, respectively, are optimal. For a finite time horizon, the boundaries of these trading regions depend on time and on the term...
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We consider a continuous-time model of financial market with proportional transaction costs. Our result is a dual description of the set of initial endowments of self-financing portfolios super-replicating Americantype contingent claim. The latter is a right-continuous adapted vector process describing the number of assets to be delivered at the exercise date. We introduce a specific class of p...
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Analytic bounds on the reservation write price of European-style contingent claims are derived in the presence of proportional transaction costs in a model which allows for intermediate trading. The option prices are obtained via a utility maximization approach by comparing the maximized utilities with and without the contingent claim. The mathematical tools come mainly from the theories of sin...
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ژورنال
عنوان ژورنال: Journal of Mathematical Economics
سال: 2006
ISSN: 0304-4068
DOI: 10.1016/j.jmateco.2006.09.003