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摘要翻译：
研究了一般离散市场中存在比例交易费用的美式期权，模型为买卖价差。给出了任意收益的美式期权中卖空和买空的定价算法和套期保值策略的构造、停止时间和鞅表示。这种一般方法通过放松对收益形式、交易费用大小或离散市场模型本身的任何限制，扩展了文献中主要涉及在交易费用下计算美国期权价格的特殊情况。在交易费用下，美式期权买方的定价、套期保值和止损的大部分未被探索的案例也被涵盖。定价算法计算效率高，只随重组树模型中的时间步长多项式增长。实现要求（卖方）和出价（买方）期权价格的停止时间可能彼此不同。前者通常是所谓的混合（随机）停止时间，而后者总是纯（普通）停止时间。
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英文标题：
《American Options under Proportional Transaction Costs: Pricing, Hedging
and Stopping Algorithms for Long and Short Positions》
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作者：
Alet Roux, Tomasz Zastawniak
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最新提交年份：
2007
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of hedging strategies, stopping times and martingale representations are presented for short (seller's) and long (buyer's) positions in an American option with an arbitrary payoff. This general approach extends the special cases considered in the literature concerned primarily with computing the prices of American puts under transaction costs by relaxing any restrictions on the form of the payoff, the magnitude of the transaction costs or the discrete market model itself. The largely unexplored case of pricing, hedging and stopping for the American option buyer under transaction costs is also covered. The pricing algorithms are computationally efficient, growing only polynomially with the number of time steps in a recombinant tree model. The stopping times realising the ask (seller's) and bid (buyer's) option prices can differ from one another. The former is generally a so-called mixed (randomised) stopping time, whereas the latter is always a pure (ordinary) stopping time.
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PDF链接：
https://arxiv.org/pdf/0709.1589
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