American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
existingresults.h File Reference

Go to the source code of this file.

Functions

void BoyleVorst1992 ()
void EdirsingheNaikUppal1993 ()
void existingresults ()
void LohneRudloff2011 ()
void Palmer2001 ()
void PerrakisLefoll2004 ()
void Roux2008 ()
void RouxTokarzZastawniak2008 ()
void RouxZastawniak2009 ()
void TokarzZastawniak2006 ()

Detailed Description

Functions that reproduce numerical results in models that have been studied in the literature.


Function Documentation

void BoyleVorst1992 ( )

Boyle, P.P., Vorst, T., Option Replication in Discrete Time with Transaction Costs, The Journal of Finance, 1992, XLVII, 347-382.

void EdirsingheNaikUppal1993 ( )

Edirisinghe, C.; Naik, V. & Uppal, R. Optimal Replication of Options with Transactions Costs and Trading Restrictions The Journal of Financial and Quantitative Analysis, 1993, 28, 117-138.

void existingresults ( )

Catch-all function that compares with all known results.

void LohneRudloff2011 ( )

Lohne, A. & Rudloff, B. An algorithm for calculating the set of superhedging portfolios and strategies in markets with transaction costs 2011.

void Palmer2001 ( )

Palmer, K., A note on the Boyle-Vorst discrete-time option pricing model with transactions costs, Mathematical Finance, 2001, 11, 357-363.

void PerrakisLefoll2004 ( )

Perrakis, S. & Lefoll, J. The American put under transactions costs Journal of Economic Dynamics and Control, 2004, 28, 915-935.

void Roux2008 ( )

Roux, A. Options under transaction costs: Algorithms for pricing and hedging of European and American options under proportional transaction costs and different borrowing and lending rates VDM Verlag, 2008.

void RouxTokarzZastawniak2008 ( )

Roux, A.; Tokarz, K. & Zastawniak, T. Options under Proportional Transaction Costs: An Algorithmic Approach to Pricing and Hedging Acta Applicandae Mathematicae, 2008, 103, 201-219.

void RouxZastawniak2009 ( )

Roux, A. & Zastawniak, T. American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions Acta Applicandae Mathematicae, 2009, 106, 199-228.

void TokarzZastawniak2006 ( )

Tokarz, K. & Zastawniak, T. American contingent claims under small proportional transaction costs Journal of Mathematical Economics, 2006, 43, 65-85.

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