Optimal exercise of American puts with transaction costs under utility maximization

DOI10.1016/J.AMC.2021.126684OpenAlexW3205948920MaRDI QIDQ2247137FDOQ2247137

Authors: Xiaoping Lu, Dong Yan, Song-Ping Zhu 

Publication date: 16 November 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2021.126684

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zbMATH Keywords

American optionHamilton-Jacobi-Bellman equationtransaction costsfinite differencesutility indifference pricingoptimal boundary

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx) Mathematical economics (91Bxx) Parabolic equations and parabolic systems (35Kxx)

Cites Work

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• Title not available (Why is that?)
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Cited In (1)

• Limit equations of adaptive Erlangization and their application to environmental management

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