In the paper hedging of the European option in a discrete time financial market with proportional transaction costs is studied. It is shown that for a certain class of options the set of portfolios which allow to hedge an option in a discrete time model with a bounded set of possible changes in...

In the paper hedging of the European option in a discrete time financial market with proportional transaction costs is studied. It is shown that for a certain class of options the set of portfolios which allow to hedge an option in a discrete time model with a bounded set of possible changes in...

In the paper pricing of the American option in a discrete time financial market with proportional transaction costs is studied. Lower bound for the price of the American contingent claim is obtained. Under sufficiently small transaction costs the formula for the cost of a strategy that...