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.
@article{bwmeta1.element.bwnjournal-article-zmv26i1p93bwm,
author = {Marek Koci\'nski},
title = {Optimality of the replicating strategy for American options},
journal = {Applicationes Mathematicae},
volume = {26},
year = {1999},
pages = {93-105},
zbl = {1050.91514},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-zmv26i1p93bwm}
}
Kociński, Marek. Optimality of the replicating strategy for American options. Applicationes Mathematicae, Tome 26 (1999) pp. 93-105. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-zmv26i1p93bwm/
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