Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment

DOI10.1007/s00780-014-0233-zzbMath1303.91169arXiv1112.3012OpenAlexW3124262564MaRDI QIDQ457188

Maxim Bichuch

Publication date: 26 September 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.3012

zbMATH Keywords

option pricingasymptotic analysistransaction costsoptimal investmentexponential utilitypricing a contingent claim liability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

General indifference pricing with small transaction costs ⋮ Asymptotic replication with modified volatility under small transaction costs ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS ⋮ Simple bounds for utility maximization with small transaction costs ⋮ Trading with small nonlinear price impact ⋮ Optimal exercise of American puts with transaction costs under utility maximization ⋮ Optimal Switching between Locking Down and Opening the Economy Because of an Infection ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

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