2 papers
q-fin.PR2007
The fundamental theorem of asset pricing under proportional transaction costs
Alet Roux
We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account…
q-fin.PR2007
American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions
Alet Roux, Tomasz Zastawniak
American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of he…