Indifference Pricing in a Market with Transaction Costs and Jumps
From MaRDI portal
Publication:4626491
DOI10.1007/978-3-319-61282-9_3zbMath1420.91451OpenAlexW2755858470MaRDI QIDQ4626491
Maria do Rosário Grossinho, Nicola Cantarutti, Manuel C. Guerra, João M. E. Guerra
Publication date: 28 February 2019
Published in: Novel Methods in Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_3
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- The writing price of a European contingent claim under proportional transaction costs
- Optimal delta-hedging under transactions costs
- Indifference Pricing in a Market with Transaction Costs and Jumps
- European Option Pricing with Transaction Costs
- Financial Modelling with Jump Processes
- The Variance Gamma Process and Option Pricing
- Option pricing: A simplified approach
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models