The following pages link to (Q4868513):
Displaying 25 items.
- An integer programming model for pricing American contingent claims under transaction costs (Q429815) (← links)
- A penalty approach to a discretized double obstacle problem with derivative constraints (Q496614) (← links)
- Game contingent claims in complete and incomplete markets (Q705897) (← links)
- A numerical method for pricing European options with proportional transaction costs (Q740640) (← links)
- A penalty method for a finite-dimensional obstacle problem with derivative constraints (Q742393) (← links)
- American contingent claims under small proportional transaction costs (Q861832) (← links)
- Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs (Q903007) (← links)
- Option pricing with transaction costs using a Markov chain approximation (Q951502) (← links)
- Computation of reservation prices of options with proportional transaction costs (Q956510) (← links)
- American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions (Q1028005) (← links)
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs (Q1039367) (← links)
- Pricing contingent claims in incomplete markets when the holder can choose among different payoffs. (Q1413354) (← links)
- An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering (Q1670525) (← links)
- Utility based option evaluation with proportional transaction costs (Q1853219) (← links)
- Are American options European after all? (Q2134285) (← links)
- Optimal exercise of American puts with transaction costs under utility maximization (Q2247137) (← links)
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem (Q2295323) (← links)
- Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme (Q2403848) (← links)
- A unified approach to portfolio optimization with linear transaction costs (Q2433238) (← links)
- Horizon-unbiased utility functions (Q2464859) (← links)
- A note on utility indifference pricing (Q2828052) (← links)
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility (Q4455898) (← links)
- A two-dimensional dividend problem for collaborating companies and an optimal stopping problem (Q4562061) (← links)
- Arbitrage and control problems in finance. A presentation (Q5939293) (← links)
- Special issue: Arbitrage and control problems in finance (Q5939302) (← links)
