OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (Q5866972)
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scientific article; zbMATH DE number 7590373
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS |
scientific article; zbMATH DE number 7590373 |
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OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (English)
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22 September 2022
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transaction costs
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option pricing
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utility maximization
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entropy
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indifference pricing
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generalized convex hull
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dynamic programming
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