Pages that link to "Item:Q4695411"

The following pages link to European Option Pricing with Transaction Costs (Q4695411):

Displaying 50 items.

• Asymptotic replication with modified volatility under small transaction costs (Q287666) (← links)
• Interest rates risk-premium and shape of the yield curve (Q316908) (← links)
• Dynamic portfolio optimization with transaction costs and state-dependent drift (Q319244) (← links)
• Asset liquidity and the valuation of derivative securities (Q442747) (← links)
• Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (Q453370) (← links)
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
• Analysis of optimal strategies for a competing stock market portfolio model with a polyvariant profit function (Q464874) (← links)
• Efficient discretization of stochastic integrals (Q471177) (← links)
• A spectral method for an optimal investment problem with transaction costs under potential utility (Q515774) (← links)
• Some finance problems solved with nonsmooth optimization techniques (Q597156) (← links)
• Foreign currency option pricing with proportional transaction costs (Q621866) (← links)
• Option hedging for small investors under liquidity costs (Q650751) (← links)
• A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
• Option market making under inventory risk (Q836039) (← links)
• Risk measure pricing and hedging in the presence of transaction costs (Q874350) (← links)
• A counter-example to an option pricing formula under transaction costs (Q881422) (← links)
• Pricing equity-linked pure endowments with risky assets that follow Lévy processes (Q882858) (← links)
• Proportional transaction costs in the robust control approach to option pricing: the uniqueness theorem (Q887158) (← links)
• Utility indifference valuation of corporate bond with rating migration risk (Q889421) (← links)
• Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007) (← links)
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (Q937233) (← links)
• Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates (Q939322) (← links)
• A variational inequality arising from European option pricing with transaction costs (Q943445) (← links)
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging (Q944910) (← links)
• Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good (Q951456) (← links)
• Option pricing with transaction costs using a Markov chain approximation (Q951502) (← links)
• Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management (Q952084) (← links)
• European option pricing and hedging with both fixed and proportional transaction costs (Q956487) (← links)
• Computation of reservation prices of options with proportional transaction costs (Q956510) (← links)
• On reset option pricing in binomial market with both fixed and proportional transaction costs (Q990579) (← links)
• On the numerical solution of nonlinear Black-Scholes equations (Q1004743) (← links)
• Numerical solution of linear and nonlinear Black-Scholes option pricing equations (Q1004744) (← links)
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem (Q1006096) (← links)
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory (Q1027357) (← links)
• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs (Q1039367) (← links)
• Option hedging theory under transaction costs (Q1042722) (← links)
• Option pricing with transaction costs and a nonlinear Black-Scholes equation (Q1265770) (← links)
• Multi-period minimax hedging strategies (Q1268215) (← links)
• Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach (Q1294549) (← links)
• Option replication with transaction costs: general diffusion limits (Q1296601) (← links)
• Singular optimal strategies for investment with transaction costs (Q1296728) (← links)
• Computational aspects in applied stochastic control (Q1342439) (← links)
• Asset allocation with time variation in expected returns (Q1381452) (← links)
• Optimal delta-hedging under transactions costs (Q1391437) (← links)
• Optimal trading strategy for European options with transaction costs. (Q1399565) (← links)
• Mean-variance hedging for pricing European-type contingent claims with transaction costs. (Q1421067) (← links)
• Pricing equity-linked pure endowments via the principle of equivalent utility. (Q1423334) (← links)
• Option pricing and replication with transaction costs and dividends (Q1583143) (← links)
• Computation of distorted probabilities for diffusion processes via stochastic control methods. (Q1584581) (← links)
• Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs. (Q1605429) (← links)