Option pricing with transaction costs using a Markov chain approximation

DOI10.1016/S0165-1889(03)00059-9MaRDI QIDQ951502zbMATH OpenFDO

Authors Michael Monoyios

Publication date 24 October 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

option pricingtransaction costssingular stochastic controlutility maximisationMarkov chain approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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Cites work

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Cited in

(28)

• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• Robust generalized Merton-type financial portfolio models with generalized utility
• European option pricing with market frictions, regime switches and model uncertainty
• An improved Markov chain approximation methodology: derivatives pricing and model calibration
• OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
• European option pricing with transaction costs.
• Performance of utility-based strategies for hedging basis risk
• Computation of reservation prices of options with proportional transaction costs
• Time-consistent actuarial valuations
• Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
• A pseudospectral method for option pricing with transaction costs under exponential utility
• scientific article; zbMATH DE number 5008842 (Why is no real title available?)
• European option pricing with transaction costs in Lévy jump environment
• Optimal exercise of American puts with transaction costs under utility maximization
• On option pricing in binomial market with transaction costs
• Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
• Utility-indifference pricing of European options with proportional transaction costs
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
• European option pricing and hedging with both fixed and proportional transaction costs
• Utility based pricing and hedging of jump diffusion processes with a view to applications
• Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
• Dynamic portfolio optimization with transaction costs and state-dependent drift
• A computational method to price with transaction costs under the nonlinear Black-Scholes model
• Correlated continuous time random walk and option pricing
• On barrier option pricing in binomial market with transaction costs
• Option hedging theory under transaction costs
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory

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