Geodesic
Optimality of the replicating strategy for American options
Applicationes Mathematicae, Tome 26 (1999) no. 1, pp. 93-105

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

The aim of this paper is to study the problem of optimality of replicating strategies associated with pricing of American contingent claims in the Cox-Ross-Rubinstein model with proportional transaction costs. We show that a replication of the option is always possible. We give sufficient conditions for the existence of a replicating strategy which is optimal, and also show an example of an optimal replicating strategy that is not optimal in the global sense.
DOI : 10.4064/am-26-1-93-105
Keywords: Cox-Ross-Rubinstein model, replicating strategy, American option

Marek Kociński 1

1 
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Marek Kociński. Optimality of the replicating strategy for American options. Applicationes Mathematicae, Tome 26 (1999) no. 1, pp. 93-105. doi: 10.4064/am-26-1-93-105

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