Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
DOI10.1007/s00780-014-0233-zzbMath1303.91169arXiv1112.3012OpenAlexW3124262564MaRDI QIDQ457188
Publication date: 26 September 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1112.3012
option pricingasymptotic analysistransaction costsoptimal investmentexponential utilitypricing a contingent claim liability
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (9)
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