Optimal exercise of American puts with transaction costs under utility maximization (Q2247137)
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scientific article; zbMATH DE number 7428243
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| English | Optimal exercise of American puts with transaction costs under utility maximization |
scientific article; zbMATH DE number 7428243 |
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Optimal exercise of American puts with transaction costs under utility maximization (English)
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16 November 2021
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American option
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utility indifference pricing
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transaction costs
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Hamilton-Jacobi-Bellman equation
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finite differences
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optimal boundary
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0.8062513470649719
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0.7950615882873535
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0.7930082678794861
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0.7920652031898499
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