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

DOI10.1016/S0168-9274(98)00104-4zbMath0997.91032OpenAlexW1988454980MaRDI QIDQ1294549

Erling D. Andersen, Anders Damgaard

Publication date: 19 November 2002

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0168-9274(98)00104-4

zbMATH Keywords

stochastic programmingtransaction costsdiversificationinterior-point algorithmEuropean call optionoptimal portfolio choiceinterior-point optimizationreservation purchaserisky security

Mathematics Subject Classification ID

Stochastic programming (90C15) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Interior-point methods (90C51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Foreign currency option pricing with proportional transaction costs ⋮ Optimal R\&D investment for a risk-averse entrepreneur ⋮ European option pricing and hedging with both fixed and proportional transaction costs ⋮ Computation of reservation prices of options with proportional transaction costs ⋮ Utility based option evaluation with proportional transaction costs ⋮ Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs ⋮ American option valuation in a stochastic volatility model with transaction costs

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