Utility-indifference pricing of European options with proportional transaction costs

DOI10.1016/J.CAM.2021.113639zbMath1466.91372OpenAlexW3161784778MaRDI QIDQ2033077

Xiaoping Lu, Dong Yan

Publication date: 14 June 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113639

zbMATH Keywords

option pricingfinite differencestransaction costsutility-indifference method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Utility theory (91B16) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (2)

Modeling and computation of cost-constrained adaptive environmental management with discrete observation and intervention ⋮ Optimal exercise of American puts with transaction costs under utility maximization

Cites Work

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