European option pricing and hedging with both fixed and proportional transaction costs

DOI10.1016/j.jedc.2004.11.002zbMath1198.91218OpenAlexW2224748386MaRDI QIDQ956487

Valeri I. Zakamouline

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11250/163689

zbMATH Keywords

option pricingtransaction costsMarkov chain approximationoption hedgingstochastic impulse control

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (15)

Robust option pricing ⋮ Arbitrage theory for non convex financial market models ⋮ Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme ⋮ A numerical study of the utility-indifference approach for pricing American options ⋮ A penalty approach to a discretized double obstacle problem with derivative constraints ⋮ Optimal exercise of American puts with transaction costs under utility maximization ⋮ A numerical method for European option pricing with transaction costs nonlinear equation ⋮ Computing option pricing models under transaction costs ⋮ Utility-indifference pricing of European options with proportional transaction costs ⋮ A numerical method for pricing European options with proportional transaction costs ⋮ Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory ⋮ THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS ⋮ Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs ⋮ Option hedging theory under transaction costs ⋮ Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs

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