Computation of reservation prices of options with proportional transaction costs

DOI10.1016/j.jedc.2005.03.001zbMath1198.91207OpenAlexW3121586844MaRDI QIDQ956510

Anders Damgaard

Publication date: 25 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.03.001

zbMATH Keywords

transaction costsviscosity solutionssingular stochastic controlMarkov chain approximationoptimal portfolio choicereservation prices of options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (12)

Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation ⋮ Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme ⋮ An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering ⋮ Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing ⋮ Numerical solution of an obstacle problem with interval coefficients ⋮ 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 pricing European options with proportional transaction costs ⋮ An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem ⋮ A penalty method for a finite-dimensional obstacle problem with derivative constraints ⋮ Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs ⋮ Utility based option evaluation with proportional transaction costs

Cites Work

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• User’s guide to viscosity solutions of second order partial differential equations
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• European Option Pricing with Transaction Costs
• Option pricing: A simplified approach
• Portfolio Selection with Transaction Costs

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