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Optimality of the replicating strategy for American options

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Kociński M.

Applicationes Mathematicae

1999

tom 26

nr 1

93-105

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.

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1 Applicationes Mathematicae

1 Kociński M.

1 1999

Wyniki wyszukiwania

Optimality of the replicating strategy for American options