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On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs

机译：具有比例交易成本的离散时间市场中的美国期权对冲

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International audience

机译：国际观众

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作者
Bouchard Bruno; Temam Emmanuel;
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年度 2005
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正文语种 en
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专利

1. On the Hedging of American Options in Discrete Time with Proportional Transaction Costs [J] . Bouchard Bruno, Teman Emmanuel Electronic Journal of Probability . 2005,第33期

机译：离散交易中按比例交易成本对冲的美国期权对冲
2. Hedging of the European option in discrete time under proportional transaction costs [J] . Marek Kocinski Mathematical methods of operations research . 2004,第2期

机译：按比例交易成本在离散时间内对冲欧洲期权
3. American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions [J] . Roux A, Zastawniak T Acta Applicandae Mathematicae: An International Journal on Applying Mathematics and Mathematical Applications . 2009,第2期

机译：比例交易成本下的美式期权：多头和空头头寸的定价，对冲和止损算法
4. Parallel Binomial Valuation of American Options with Proportional Transaction Costs [C] . Nan Zhang, Alet Roux, Tomasz Zastawniak Advanced parallel processing technologies . 2011

机译：具有比例交易成本的美式期权的平行二项式估值
5. Jump diffusion processes: Discrete -time option replication and pricing European call options in the presence of transaction costs. [D] . Houngbedji, Aurele Mawudo. 2000

机译：跳跃扩散过程：离散时间期权复制和存在交易成本的欧式看涨期权定价。
6. Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion [O] . Jiao-Jiao Sun, Shengwu Zhou, Yan Zhang, 2014

机译：分数布朗运动下具有固定比例交易成本的回顾期权定价
7. On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs [O] . Bouchard, Bruno, Temam, Emmanuel 2005

机译：论离散时间市场中美国期权的套期保值比例交易成本

On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs

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