Utility-indifference pricing of European options with proportional transaction costs

DOI10.1016/J.CAM.2021.113639MaRDI QIDQ2033077zbMATH OpenOpenAlexFDO

Authors Dong Yan, Xiaoping Lu

Publication date 14 June 2021

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2021.113639

zbMATH Keywords

finite differencesoption pricingtransaction costsutility-indifference method

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Utility theory (91B16) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A Black--Scholes option pricing model with transaction costs
• A numerical study of the utility-indifference approach for pricing American options
• A variational inequality arising from European option pricing with transaction costs
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• Analysis of the nonlinear option pricing model under variable transaction costs
• European option pricing and hedging with both fixed and proportional transaction costs
• European Option Pricing with Transaction Costs
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
• Optimum consumption and portfolio rules in a continuous-time model
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Option pricing with transaction costs using a Markov chain approximation
• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
• Simulations of transaction costs and optimal rehedging
• The pricing of options and corporate liabilities

Cited in

(13)

• The writing price of a European contingent claim under proportional transaction costs
• Hedging of the European option in discrete time under proportional transaction costs
• Utility based option evaluation with proportional transaction costs
• A numerical study of the utility-indifference approach for pricing American options
• Optimal exercise of American puts with transaction costs under utility maximization
• A note on utility-based pricing in models with transaction costs
• Exponential utility of indifference prices and hedging strategies with transaction costs
• Indifference Pricing in a Market with Transaction Costs and Jumps
• Modeling and computation of cost-constrained adaptive environmental management with discrete observation and intervention
• Expected vs. real transaction costs in European option pricing
• Pricing American options with exogenous and endogenous transaction costs
• A variational inequality arising from European option pricing with transaction costs
• European option pricing and hedging with both fixed and proportional transaction costs

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