Utility based option evaluation with proportional transaction costs (Q1853219): Difference between revisions

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+MaRDI publication profile
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+Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Consumption-investment problems with transaction costs: Survey and open problems
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+Optimal delta-hedging under transactions costs
@@ Property / cites work: Optimal delta-hedging under transactions costs / rank @@
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+Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
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+Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
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+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Computation of reservation prices of options with proportional transaction costs
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+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
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+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
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+Q4868513
@@ Property / cites work: Q4868513 / rank @@
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+On the pricing of contingent claims under constraints
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+Q4002114
@@ Property / cites work: Q4002114 / rank @@
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+Portfolio selection with transactions costs
@@ Property / cites work: Portfolio selection with transactions costs / rank @@
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@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
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+The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices *
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+Optimal investment and consumption with transaction costs
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0165-1889(01)00068-9
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+W3125465369
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