most citedUtility maximizing entropy and the second law of thermodynamics

10 citations · 10 across the 3 of their papers we have counts for

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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…