Option pricing with transaction costs using a Markov chain approximation

DOI10.1016/S0165-1889(03)00059-9zbMath1179.91244MaRDI QIDQ951502

Michael Monoyios

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

option pricing; transaction costs; singular stochastic control; utility maximisation; Markov chain approximation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Options under proportional transaction costs: An algorithmic approach to pricing and hedging, European option pricing and hedging with both fixed and proportional transaction costs, Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory, Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs, Option hedging theory under transaction costs, On barrier option pricing in binomial market with transaction costs

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