Utility based option evaluation with proportional transaction costs

DOI10.1016/S0165-1889(01)00068-9zbMath1029.91026OpenAlexW3125465369MaRDI QIDQ1853219

Anders Damgaard

Publication date: 21 January 2003

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

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00068-9

zbMATH Keywords

transaction costsHARA utility functionsEuropean contingent claimsreservation prices

Mathematics Subject Classification ID

Special types of economic markets (including Cournot, Bertrand) (91B54)

Related Items (7)

Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme ⋮ Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs ⋮ Optimal R\&D investment for a risk-averse entrepreneur ⋮ Optimal exercise of American puts with transaction costs under utility maximization ⋮ On the number of deviations of geometric Brownian motion with drift from its extreme points with applications to transaction costs ⋮ Computation of reservation prices of options with proportional transaction costs ⋮ Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs

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