Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
type: Item
instance of: scholarly article
title: Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
zbMATH Open document ID: 0997.91032
DOI: 10.1016/S0168-9274(98)00104-4
author: E. D. Andersen
author: Anders Damgaard
published in: Applied Numerical Mathematics
publication date: 2002-11-19T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 90C51
Mathematics Subject Classification ID: 90C08
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 1311300
zbMATH Keywords: stochastic programming
zbMATH Keywords: interior-point optimization
zbMATH Keywords: optimal portfolio choice
zbMATH Keywords: diversification
zbMATH Keywords: reservation purchase
zbMATH Keywords: European call option
zbMATH Keywords: risky security
zbMATH Keywords: transaction costs
zbMATH Keywords: interior-point algorithm
MaRDI profile type: Publication
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full work available at URL: s0168-9274(98)00104-4
OpenAlex ID: W1988454980
description: scientific article; zbMATH DE number 1311300