Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
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DOI: 10.1007/s00780-014-0233-z
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References listed on IDEAS
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Cited by:
- Bouchard, Bruno & Muhle-Karbe, Johannes, 2022. "Simple bounds for utility maximization with small transaction costs," Stochastic Processes and their Applications, Elsevier, vol. 146(C), pages 98-113.
- Lu, Xiaoping & Yan, Dong & Zhu, Song-Ping, 2022. "Optimal exercise of American puts with transaction costs under utility maximization," Applied Mathematics and Computation, Elsevier, vol. 415(C).
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More about this item
Keywords
Transaction costs; Optimal control; Asymptotic analysis; Utility maximization; Option pricing; 91G80; 60H30; G13;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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