Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach (Q1294549): Difference between revisions

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English	Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach	scientific article

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scholarly article

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title

Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach (English)

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Applied Numerical Mathematics

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publication date

19 November 2002

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zbMATH Keywords

stochastic programming

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interior-point optimization

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optimal portfolio choice

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diversification

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reservation purchase

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European call option

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risky security

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transaction costs

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interior-point algorithm

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An Efficient Newton Barrier Method for Minimizing a Sum of Euclidean Norms

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Q4388788

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DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>

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Introduction to Stochastic Programming

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The Pricing of Options and Corporate Liabilities

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Optimal delta-hedging under transactions costs

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Multiperiod Consumption and Investment Behavior with Convex Transactions Costs

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Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities

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Option pricing: A simplified approach

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Portfolio Selection with Transaction Costs

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European Option Pricing with Transaction Costs

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Q3721531

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Q5588268

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Q4226179

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Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis

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An infeasible interior-point algorithm for solving primal and dual geometric programs

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Q4004190

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Q4905685

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A globally convergent primal-dual interior point algorithm for convex programming

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A stochastic programming model for funding single premium deferred annuities

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There is no nontrivial hedging portfolio for option pricing with transaction costs

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An interior point potential reduction method for constrained equations

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Identifiers

zbMATH Open document ID

0997.91032

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DOI

10.1016/S0168-9274(98)00104-4

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1294549

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+An Efficient Newton Barrier Method for Minimizing a Sum of Euclidean Norms
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@@ Property / cites work @@
+Q4388788
@@ Property / cites work: Q4388788 / rank @@
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@@ Property / cites work @@
+DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS<sup>1</sup>
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@@ Property / cites work @@
+Introduction to Stochastic Programming
@@ Property / cites work: Introduction to Stochastic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal delta-hedging under transactions costs
@@ Property / cites work: Optimal delta-hedging under transactions costs / rank @@
+Normal rank
@@ Property / cites work @@
+Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
+Normal rank
@@ Property / cites work @@
+Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Q3721531
@@ Property / cites work: Q3721531 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5588268
@@ Property / cites work: Q5588268 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226179
@@ Property / cites work: Q4226179 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis
+Normal rank
@@ Property / cites work @@
+An infeasible interior-point algorithm for solving primal and dual geometric programs
+Normal rank
@@ Property / cites work @@
+Q4004190
@@ Property / cites work: Q4004190 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+A globally convergent primal-dual interior point algorithm for convex programming
+Normal rank
@@ Property / cites work @@
+A stochastic programming model for funding single premium deferred annuities
+Normal rank
@@ Property / cites work @@
+There is no nontrivial hedging portfolio for option pricing with transaction costs
+Normal rank
@@ Property / cites work @@
+An interior point potential reduction method for constrained equations
+Normal rank