Utility based option evaluation with proportional transaction costs

DOI10.1016/S0165-1889(01)00068-9zbMath1029.91026OpenAlexW3125465369MaRDI QIDQ1853219

Anders Damgaard

Publication date: 21 January 2003

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00068-9

zbMATH Keywords

transaction costsHARA utility functionsEuropean contingent claimsreservation prices

Mathematics Subject Classification ID

Related Items (7)

Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme ⋮ Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs ⋮ Optimal R\&D investment for a risk-averse entrepreneur ⋮ Optimal exercise of American puts with transaction costs under utility maximization ⋮ On the number of deviations of geometric Brownian motion with drift from its extreme points with applications to transaction costs ⋮ Computation of reservation prices of options with proportional transaction costs ⋮ Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs

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