2 papers
q-fin.PR2016
Game options with gradual exercise and cancellation under proportional transaction costs
Alet Roux, Tomasz Zastawniak
Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has…
q-fin.PR2014
Linear vector optimization and European option pricing under proportional transaction costs
Alet Roux, Tomasz Zastawniak
A method for pricing and superhedging European options under proportional transaction costs based on linear vector optimisation and geometric duality developed by Lohne & Rudloff (…