Zero-level pricing method with transaction cost

DOI10.1007/s11590-011-0400-5zbMath1261.91020OpenAlexW2014045406WikidataQ57700618 ScholiaQ57700618MaRDI QIDQ691472

M. C. Fu

Publication date: 30 November 2012

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-011-0400-5

zbMATH Keywords

transaction costno-arbitrage pricing approachzero-level pricing method

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

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• Zero-level pricing and the HARA utility functions
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• Arbitrage and universal pricing.
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis

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