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

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)

Recommendations

• scientific article; zbMATH DE number 852302
• American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions
• American option valuation in a stochastic volatility model with transaction costs
• Utility-indifference pricing of European options with proportional transaction costs
• Pricing of the American option in discrete time under proportional transaction costs

Cites work

• scientific article; zbMATH DE number 852302 (Why is no real title available?)
• 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 with Transaction Costs
• European option pricing and hedging with both fixed and proportional transaction costs
• European option pricing with transaction costs and stochastic volatility: an asymptotic analysis
• General indifference pricing with small transaction costs
• 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

(3)

• Limit equations of adaptive Erlangization and their application to environmental management
• American option valuation in a stochastic volatility model with transaction costs
• The implication of missing the optimal-exercise time of an American option

This page was built for publication: Optimal exercise of American puts with transaction costs under utility maximization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2247137)