Indifference Pricing in a Market with Transaction Costs and Jumps

DOI10.1007/978-3-319-61282-9_3zbMath1420.91451MaRDI QIDQ4626491

Maria do Rosário Grossinho, Nicola Cantarutti, Manuel C. Guerra, João M. E. Guerra

Publication date: 28 February 2019

Published in: Novel Methods in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9_3

zbMATH Keywords

jumps; transaction costs; Lévy process; European call option pricing

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Indifference Pricing in a Market with Transaction Costs and Jumps

Cites Work

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