OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

DOI10.1142/S0219024922500170zbMath1498.91460arXiv1909.06260OpenAlexW3125895983WikidataQ115523128 ScholiaQ115523128MaRDI QIDQ5866972

Alet Roux, Zhikang Xu

Publication date: 22 September 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.06260

zbMATH Keywords

entropydynamic programmingoption pricingtransaction costsutility maximizationindifference pricinggeneralized convex hull

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• American and Bermudan options in currency markets with proportional transaction costs
• Duality theory for portfolio optimisation under transaction costs
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
• Transaction costs, trading volume, and the liquidity premium
• Convex duality in optimal investment under illiquidity
• Existence of shadow prices in finite probability spaces
• On utility maximization in discrete-time financial market models
• Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
• Shadow price in the power utility case
• Construction of discrete time shadow price
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• Option pricing with transaction costs using a Markov chain approximation
• On using shadow prices in portfolio optimization with transaction costs
• Derivative asset pricing with transaction costs: an extension
• A valuation algorithm for indifference prices in incomplete markets
• Convex duality in optimal investment and contingent claim valuation in illiquid markets
• Optimal investment with transaction costs and without semimartingales
• Martingales and arbitage in securities markets with transaction costs
• The dual optimizer for the growth-optimal portfolio under transaction costs
• Optimal investment and contingent claim valuation in illiquid markets
• Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
• Pricing Via Utility Maximization and Entropy
• A NOTE ON UTILITY INDIFFERENCE PRICING
• Derivative Pricing in Discrete Time
• Transaction Costs, Shadow Prices, and Duality in Discrete Time
• Utility maximization problem with random endowment and transaction costs: when wealth may become negative
• Utility maximization in markets with bid–ask spreads
• OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
• Exponential Hedging and Entropic Penalties
• On the existence of shadow prices for optimal investment with random endowment
• European Option Pricing with Transaction Costs
• AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS
• SHADOW PRICES FOR CONTINUOUS PROCESSES
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• Introduction to a theory of value coherent with the no-arbitrage principle
• Coherent risk measures and good-deal bounds
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

This page was built for publication: OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS