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

DOI10.1016/J.JEDC.2004.11.002zbMATH Open1198.91218OpenAlexW2224748386MaRDI QIDQ956487FDOQ956487

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

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zbMATH Keywords

option pricingtransaction costsMarkov chain approximationoption hedgingstochastic impulse control

Mathematics Subject Classification ID

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

Cites Work

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• Portfolio Selection with Transaction Costs
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• Option pricing with transaction costs and a nonlinear Black-Scholes equation
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• European Option Pricing with Transaction Costs
• Numerical Methods for Stochastic Singular Control Problems
• Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Optimal delta-hedging under transactions costs
• Option pricing with transaction costs using a Markov chain approximation
• Option pricing by large risk aversion utility under transaction costs
• Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
• Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
• The writing price of a European contingent claim under proportional transaction costs
• Simulations of transaction costs and optimal rehedging

Cited In (32)

• Title not available (Why is that?)
• Title not available (Why is that?)
• European Option Pricing with Transaction Costs
• Utility-indifference pricing of European options with proportional transaction costs
• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
• Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
• On reset option pricing in binomial market with both fixed and proportional transaction costs
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• HOLDER-EXTENDIBLE EUROPEAN OPTION: CORRECTIONS AND EXTENSIONS
• Robust option pricing
• Optimal exercise of American puts with transaction costs under utility maximization
• Hedging of the European option in discrete time under proportional transaction costs
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS
• Title not available (Why is that?)
• Pricing of proactive hedging European option with dynamic discrete position strategy
• A numerical study of the utility-indifference approach for pricing American options
• A variational inequality arising from European option pricing with transaction costs
• A numerical method for European option pricing with transaction costs nonlinear equation
• Hedging of the European option with nonsmooth payment function
• The writing price of a European contingent claim under proportional transaction costs
• A penalty approach to a discretized double obstacle problem with derivative constraints
• Proactive hedging European option pricing with a general logarithmic position strategy
• A numerical method for pricing European options with proportional transaction costs
• Arbitrage theory for non convex financial market models
• Expected vs. real transaction costs in European option pricing
• Optimal trading strategy for European options with transaction costs.
• EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS
• Computing option pricing models under transaction costs
• Option hedging theory under transaction costs
• Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs

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