Computation of reservation prices of options with proportional transaction costs
DOI10.1016/J.JEDC.2005.03.001zbMATH Open1198.91207OpenAlexW3121586844MaRDI QIDQ956510FDOQ956510
Authors: Anders Damgaard 
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2005.03.001
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transaction costsviscosity solutionssingular stochastic controlMarkov chain approximationoptimal portfolio choicereservation prices of options
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)
Cites Work
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- Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
- Utility based option evaluation with proportional transaction costs
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Cited In (16)
- Recent advances in numerical solution of HJB equations arising in option pricing
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
- Numerical solution of an obstacle problem with interval coefficients
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
- 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
- Optimal exercise of American puts with transaction costs under utility maximization
- An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
- A penalty approach to a discretized double obstacle problem with derivative constraints
- A numerical method for pricing European options with proportional transaction costs
- A penalty method for a finite-dimensional obstacle problem with derivative constraints
- Utility based option evaluation with proportional transaction costs
- Efficient approximations for utility-based pricing
- Computing option pricing models under transaction costs
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