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

Valeriy Zakamulin2004

Article2004

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

Valeriy Zakamulin

64 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1979Option pricing: A simplified approach 2005Controlled Markov Processes and Viscosity Solutions 1990Numerical Methods for Stochastic Control Problems in Continuous Time 1990Portfolio Selection with Transaction Costs 1985Option Pricing and Replication with Transactions Costs

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2009A numerical method for European Option Pricing with transaction costs nonlinear equation 2014Robust option pricing 2009Penalty Approach to the HJB Equation Arising in European Stock Option Pricing with Proportional Transaction Costs 2021How financial development and economic growth influence human capital in low-income countries 2013Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme 2009Stochastic Impulse Control of Non-Markovian Processes

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2002Utility based option evaluation with proportional transaction costsarticle · 15 shared references 2003Option pricing with transaction costs using a Markov chain approximationarticle · 13 shared references 2000Consumption-investment problems with transaction costs: Survey and open problemsarticle · 12 shared references 1999Utility based option pricing with proportional transaction costs and diversification problems: an interior-point optimization approacharticle · 11 shared references 2014Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investmentarticle · 11 shared references 1999Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferencesarticle · 10 shared references

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Year2004

Typearticle

Published2004-12-28

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations64

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jedc.2004.11.002

openalex_workW2224748386

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2006Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory

2006Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs