American and Bermudan Options in Currency Markets with Proportional Transaction Costs

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• 作者：Alet Roux ; Tomasz Zastawniak
• 关键词：American options ; Optimal stopping ; Proportional transaction costs ; Currencies ; 91G20 ; 91G60 ; 60G40
• 刊名：Acta Applicandae Mathematicae
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：141
• 期：1
• 页码：187-225
• 全文大小：2,082 KB
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• 作者单位：Alet Roux (1)
  Tomasz Zastawniak (1)
  
  1. Department of Mathematics, University of York, Heslington, YO10 5DD, UK
  
• 刊物主题：Mathematics, general; Computer Science, general; Theoretical, Mathematical and Computational Physics; Statistical Physics, Dynamical Systems and Complexity; Mechanics;
• 出版者：Springer Netherlands
• ISSN：1572-9036

文摘

The pricing and hedging of a general class of options (including American, Bermudan and European options) on multiple assets are studied in the context of currency markets where trading is subject to proportional transaction costs, and where the existence of a risk-free numéraire is not assumed. Constructions leading to algorithms for computing the prices, optimal hedging strategies and stopping times are presented for both long and short option positions in this setting, together with probabilistic (martingale) representations for the option prices. Keywords American options Optimal stopping Proportional transaction costs Currencies