European option pricing and hedging with both fixed and proportional transaction costs

DOI10.1016/J.JEDC.2004.11.002MaRDI QIDQ956487zbMATH OpenOpenAlexFDO

Authors Valeri I. Zakamouline

Publication date 25 November 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11250/163689

zbMATH Keywords

Markov chain approximationoption hedgingoption pricingstochastic impulse controltransaction costs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20)

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Cited in

(38)

• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
• Option hedging theory under transaction costs
• The writing price of a European contingent claim under proportional transaction costs
• Optimal trading strategy for European options with transaction costs.
• Risk preference, option pricing and portfolio hedging with proportional transaction costs
• Hedging of the European option in discrete time under proportional transaction costs
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• Utility-indifference pricing of European options with proportional transaction costs
• Proactive hedging European option pricing with a general logarithmic position strategy
• A numerical study of the utility-indifference approach for pricing American options
• Optimal exercise of American puts with transaction costs under utility maximization
• Hedging of the European option with nonsmooth payment function
• Pricing of proactive hedging European option with dynamic discrete position strategy
• Arbitrage theory for non convex financial market models
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
• EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS
• Linear vector optimization and European option pricing under proportional transaction costs
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• Optimal hedging of options with small but arbitrary transaction cost structure
• European Option Pricing with Transaction Costs
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• Expected vs. real transaction costs in European option pricing
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• A numerical method for pricing European options with proportional transaction costs
• A variational inequality arising from European option pricing with transaction costs
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• Option pricing with transaction costs using a Markov chain approximation
• A numerical method for European option pricing with transaction costs nonlinear equation
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• On reset option pricing in binomial market with both fixed and proportional transaction costs

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