Utility-indifference pricing of European options with proportional transaction costs
type: Item
instance of: scholarly article
title: Utility-indifference pricing of European options with proportional transaction costs
zbMATH Open document ID: 1466.91372
author: Dong Yan
author: Xiaoping Lu
published in: Journal of Computational and Applied Mathematics
publication date: 2021-06-14T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B16
zbMATH DE Number: 7358611
zbMATH Keywords: option pricing
zbMATH Keywords: transaction costs
zbMATH Keywords: utility-indifference method
zbMATH Keywords: finite differences
MaRDI profile type: Publication
full work available at URL: j.cam.2021.113639
OpenAlex ID: W3161784778
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DOI: 10.1016/J.CAM.2021.113639
description: scientific article; zbMATH DE number 7358611