General indifference pricing with small transaction costs
From MaRDI portal
Publication:5278183
DOI10.3233/ASY-171415zbMath1366.35195arXiv1401.3261OpenAlexW2964080721MaRDI QIDQ5278183
Guillaume Royer, Dylan Possamaï
Publication date: 13 July 2017
Published in: Asymptotic Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1401.3261
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Viscosity solutions to PDEs (35D40)
Related Items (2)
Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Optimal exercise of American puts with transaction costs under utility maximization
Cites Work
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
- No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
- A super-replication theorem in Kabanov's model of transaction costs
- Markets with transaction costs. Mathematical theory.
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
- Portfolio selection with transactions costs
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- A closed-form solution to the problem of super-replication under transaction costs
- Hedging and liquidation under transaction costs in currency markets
- Optimal investment and consumption with transaction costs
- On the possibility of hedging options in the presence of transaction costs
- Utility maximization on the real line under proportional transaction costs
- Option pricing by large risk aversion utility under transaction costs
- Super-replication under proportional transaction costs: From discrete to continuous-time models
- Explicit solution to the multivariate super-replication problem under transaction costs.
- Asymptotic analysis of optimal investment and consumption with transaction costs.
- Martingales and arbitage in securities markets with transaction costs
- There is no nontrivial hedging portfolio for option pricing with transaction costs
- Futures trading with transaction costs
- Asymptotics for fixed transaction costs
- Homogenization and Asymptotics for Small Transaction Costs
- Utility Maximization Trading Two Futures with Transaction Costs
- Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
- Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs
- Balancing Small Transaction Costs with Loss of Optimal Allocation in Dynamic Stock Trading Strategies
- OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
- Finite Horizon Optimal Investment and Consumption with Transaction Costs
- Stochastic differential equations with reflecting boundary conditions
- Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- Hedging in discrete time under transaction costs and continuous-time limit
- An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
- Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
- Multi‐asset portfolio optimization with transaction cost
- European Option Pricing with Transaction Costs
- A note on super-replicating strategies
- A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
- A free boundary problem related to singular stochastic control: the parabolic case
- The perturbed test function method for viscosity solutions of nonlinear PDE
- On an Investment-Consumption Model with Transaction Costs
- Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
- Penalty methods for continuous-time portfolio selection with proportional transaction costs
This page was built for publication: General indifference pricing with small transaction costs
