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| Content Provider | Springer Nature Link |
|---|---|
| Author | Roux, Alet Zastawniak, Tomasz |
| Copyright Year | 2015 |
| Abstract | The pricing and hedging of a general class of options (including American, Bermudan and European options) on multiple assets are studied in the context of currency markets where trading is subject to proportional transaction costs, and where the existence of a risk-free numéraire is not assumed. Constructions leading to algorithms for computing the prices, optimal hedging strategies and stopping times are presented for both long and short option positions in this setting, together with probabilistic (martingale) representations for the option prices. |
| Ending Page | 225 |
| Page Count | 39 |
| Starting Page | 187 |
| File Format | |
| ISSN | 01678019 |
| e-ISSN | 15729036 |
| Journal | Acta Applicandae Mathematica |
| Issue Number | 1 |
| Volume Number | 141 |
| Language | English |
| Publisher | Springer Netherlands |
| Publisher Date | 2015-02-25 |
| Publisher Place | Dordrecht |
| Access Restriction | One Nation One Subscription (ONOS) |
| Subject Keyword | Optimal stopping Theoretical, Mathematical and Computational Physics Computer Science Mechanics American options Stopping times; optimal stopping problems; gambling theory Mathematics Statistical Physics, Dynamical Systems and Complexity Proportional transaction costs Currencies Numerical methods (including Monte Carlo methods) Derivative securities |
| Content Type | Text |
| Resource Type | Article |
| Subject | Applied Mathematics |
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