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Pricing of the American option in discrete time under proportional transaction costs |
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| Authors: | Marek Kociński |
| Institution: | (1) Department of Mathematical Statistics and Experimentation, Warsaw Agricultural University, Rakowiecka 26/30, 02-528 Warszawa, Poland (E-mail: kocinski@delta.sggw.waw.pl), PL |
| Abstract: | |
| Keywords: | : American option self-financing strategy hedging replicating strategy |
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