Pages that link to "Item:Q951502"

The following pages link to Option pricing with transaction costs using a Markov chain approximation (Q951502):

Displaying 22 items.

• Dynamic portfolio optimization with transaction costs and state-dependent drift (Q319244) (← links)
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
• Time-consistent actuarial valuations (Q903338) (← links)
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging (Q944910) (← links)
• European option pricing and hedging with both fixed and proportional transaction costs (Q956487) (← links)
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory (Q1027357) (← links)
• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs (Q1039367) (← links)
• Option hedging theory under transaction costs (Q1042722) (← links)
• Correlated continuous time random walk and option pricing (Q1619172) (← links)
• European option pricing with transaction costs in Lévy jump environment (Q1724293) (← links)
• Utility-indifference pricing of European options with proportional transaction costs (Q2033077) (← links)
• Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method (Q2132839) (← links)
• A computational method to price with transaction costs under the nonlinear Black-Scholes model (Q2213466) (← links)
• Optimal exercise of American puts with transaction costs under utility maximization (Q2247137) (← links)
• On barrier option pricing in binomial market with transaction costs (Q2383667) (← links)
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme (Q2403848) (← links)
• AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION (Q2941065) (← links)
• Performance of utility-based strategies for hedging basis risk (Q4610231) (← links)
• UTILITY BASED PRICING AND HEDGING OF JUMP DIFFUSION PROCESSES WITH A VIEW TO APPLICATIONS (Q4902548) (← links)
• OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (Q5866972) (← links)
• Robust generalized Merton-type financial portfolio models with generalized utility (Q6148775) (← links)
• European option pricing with market frictions, regime switches and model uncertainty (Q6152695) (← links)