Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach (Q1294549)
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scientific article; zbMATH DE number 1311300
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| English | Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach |
scientific article; zbMATH DE number 1311300 |
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Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach (English)
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19 November 2002
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stochastic programming
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interior-point optimization
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optimal portfolio choice
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diversification
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reservation purchase
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European call option
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risky security
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transaction costs
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interior-point algorithm
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0.8498340845108032
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0.8206831216812134
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0.8001810908317566
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0.7952643632888794
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