Optimal exercise of American puts with transaction costs under utility maximization
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- scientific article; zbMATH DE number 852302
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Cites work
- A Black--Scholes option pricing model with transaction costs
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- A revised option pricing formula with the underlying being banned from short selling
- 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
- An exact and explicit solution for the valuation of American put options
- Analysis of the nonlinear option pricing model under variable transaction costs
- Computation of reservation prices of options with proportional transaction costs
- Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation
- Equal risk pricing under convex trading constraints
- European option pricing and hedging with both fixed and proportional transaction costs
- European Option Pricing with Transaction Costs
- European option pricing with transaction costs and stochastic volatility: an asymptotic analysis
- General indifference pricing with small transaction costs
- scientific article; zbMATH DE number 852302 (Why is no real title available?)
- Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
- Nonparametric risk management and implied risk aversion
- On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
- 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
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
- Simulations of transaction costs and optimal rehedging
- The pricing of options and corporate liabilities
- Utility based option evaluation with proportional transaction costs
- Utility-indifference pricing of European options with proportional transaction costs
Cited in
(5)- The implication of missing the optimal-exercise time of an American option
- American option valuation in a stochastic volatility model with transaction costs
- Limit equations of adaptive Erlangization and their application to environmental management
- American options with liquidation penalties
- Local boundedness and Harnack inequality for an inverse variational inequality problem with double nonlinear parabolic operator in finance
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