Computation of reservation prices of options with proportional transaction costs

DOI10.1016/J.JEDC.2005.03.001MaRDI QIDQ956510zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

transaction costsviscosity solutionssingular stochastic controlMarkov chain approximationoptimal portfolio choicereservation prices of options

Mathematics Subject Classification ID

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)

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Cites work

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• European Option Pricing with Transaction Costs
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Optimal delta-hedging under transactions costs
• Option pricing: A simplified approach
• Portfolio Selection with Transaction Costs
• The pricing of options and corporate liabilities
• User’s guide to viscosity solutions of second order partial differential equations
• Utility based option evaluation with proportional transaction costs
• Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
• Viscosity Solutions of Hamilton-Jacobi Equations

Cited in

(16)

• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
• Options under proportional transaction costs: An algorithmic approach to pricing and hedging
• A penalty approach to a discretized double obstacle problem with derivative constraints
• Recent advances in numerical solution of HJB equations arising in option pricing
• Utility based option evaluation with proportional transaction costs
• Efficient approximations for utility-based pricing
• Optimal exercise of American puts with transaction costs under utility maximization
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
• Computing option pricing models under transaction costs
• An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
• A numerical method for pricing European options with proportional transaction costs
• Numerical solution of an obstacle problem with interval coefficients
• Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
• A penalty method for a finite-dimensional obstacle problem with derivative constraints
• An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
• On reset option pricing in binomial market with both fixed and proportional transaction costs

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