Utility maximization in markets with bid–ask spreads

DOI10.1080/17442508.2010.521558zbMath1229.91288OpenAlexW2091688589MaRDI QIDQ3017887

Netzahualcóyotl Castañeda-Leyva, Daniel Hernández-Hernández

Publication date: 20 July 2011

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.521558

zbMATH Keywords

incomplete marketstransaction costsoptimal investmentoptimal hedgingindifference pricingbid-ask spreads

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Dynamic programming in optimal control and differential games (49L20) Microeconomic theory (price theory and economic markets) (91B24) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (1)

OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

Cites Work

• A counter-example to an option pricing formula under transaction costs
• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
• A closed-form solution to the problem of super-replication under transaction costs
• Hedging and liquidation under transaction costs in currency markets
• Price functionals with bid-ask spreads: An axiomatic approach
• A valuation algorithm for indifference prices in incomplete markets
• On option pricing in binomial market with transaction costs
• Martingales and arbitage in securities markets with transaction costs
• Optimal investment with derivative securities
• Utility maximization under increasing risk aversion in one-period models
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• On Super-Replication in Discrete Time under Transaction Costs
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

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