Zero-level pricing method with transaction cost
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Publication:691472
DOI10.1007/S11590-011-0400-5zbMATH Open1261.91020OpenAlexW2014045406WikidataQ57700618 ScholiaQ57700618MaRDI QIDQ691472FDOQ691472
Authors: M. C. Fu 
Publication date: 30 November 2012
Published in: Optimization Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11590-011-0400-5
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Cites Work
- ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
- Semidefinite programming approaches for bounding Asian option prices
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Valuing Risky Projects: Option Pricing Theory and Decision Analysis
- Transactions costs and portfolio choice in a discrete-continuous-time setting
- Products of trees for investment analysis
- Financial engineering, E-commerce and supply chain
- Pricing a nontradeable asset and its derivatives.
- Zero-level pricing and the HARA utility functions
- Arbitrage and universal pricing.
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