Utility-indifference pricing of European options with proportional transaction costs (Q2033077): Difference between revisions

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+The Pricing of Options and Corporate Liabilities
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+Normal rank
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+Q4905685
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+A Black--Scholes option pricing model with transaction costs
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+Analysis of the nonlinear option pricing model under variable transaction costs
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+European Option Pricing with Transaction Costs
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+Simulations of transaction costs and optimal rehedging
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+Option pricing with transaction costs using a Markov chain approximation
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+European option pricing and hedging with both fixed and proportional transaction costs
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+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
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+Option pricing with transaction costs and a nonlinear Black-Scholes equation
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+A variational inequality arising from European option pricing with transaction costs
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+Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
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+Optimum consumption and portfolio rules in a continuous-time model
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+A numerical study of the utility-indifference approach for pricing American options
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+Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
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