Zero-level pricing method with transaction cost

DOI10.1007/S11590-011-0400-5MaRDI QIDQ691472zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

transaction costno-arbitrage pricing approachzero-level pricing method

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• Arbitrage and universal pricing.
• Financial engineering, E-commerce and supply chain
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Pricing a nontradeable asset and its derivatives.
• Products of trees for investment analysis
• Semidefinite programming approaches for bounding Asian option prices
• Transactions costs and portfolio choice in a discrete-continuous-time setting
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis
• Zero-level pricing and the HARA utility functions

Cited in

(1)

• Zero-level pricing and the HARA utility functions

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