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