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20072024
most citedAmerican and Bermudan options in currency markets under proportional transaction costs

1 citations · 1 across the 10 of their papers we have counts for

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q-fin.MF2015

Pricing and hedging game options in currency models with proportional transaction costs

Alet Roux

The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient c…