Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs (Q5866972)
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scientific article; zbMATH DE number 7590373
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| English | Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs |
scientific article; zbMATH DE number 7590373 |
Statements
OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (English)
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22 September 2022
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transaction costs
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option pricing
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utility maximization
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entropy
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indifference pricing
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generalized convex hull
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dynamic programming
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0.8417591452598572
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0.8292702436447144
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0.8206185698509216
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0.8156323432922363
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