Pricing a European Basket Option in the Presence of Proportional Transaction Costs

DOI10.1080/13504860600563184zbMath1142.91501OpenAlexW2060752927WikidataQ60171483 ScholiaQ60171483MaRDI QIDQ3424325

C. A. Alexandropoulos, Colin Atkinson

Publication date: 15 February 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600563184

zbMATH Keywords

Hamilton-Jacobi-Bellman equationasymptotic expansionoption pricingtransaction costsutility functionclosed form solution

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (3)

Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis ⋮ A new method for generating approximation algorithms for financial mathematics applications ⋮ Dynamic hedging of basket options under proportional transaction costs using receding horizon control

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