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Hedging of American options under transaction costs |
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| Authors: | D De Vallière E Denis Y Kabanov |
| Institution: | 1. Laboratoire de Mathématiques, Université de Franche-Comté, 16 Route de Gray, 25030, Besan?on cedex, France 2. Central Economics and Mathematics Institute, Moscow, Russia |
| Abstract: | |
| Keywords: | Transaction costs American option Hedging Coherent price system |
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