Option pricing with transaction costs using a Markov chain approximation

Citations

Cited by:

1. Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad, 2016. "Time-consistent actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 97-112.
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2. Wang, Jun & Liang, Jin-Rong & Lv, Long-Jin & Qiu, Wei-Yuan & Ren, Fu-Yao, 2012. "Continuous time Black–Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 750-759.
3. Jochen Zahn, 2011. "Utility based pricing and hedging of jump diffusion processes with a view to applications," Papers 1106.1395, arXiv.org, revised Dec 2012.
4. Al–Zhour, Zeyad & Barfeie, Mahdiar & Soleymani, Fazlollah & Tohidi, Emran, 2019. "A computational method to price with transaction costs under the nonlinear Black–Scholes model," Chaos, Solitons & Fractals, Elsevier, vol. 127(C), pages 291-301.
5. João Amaro de Matos & Nuno Silva, 2012. "Consuming durable goods when stock markets jump: a strategic asset allocation approach," GEMF Working Papers 2012-01, GEMF, Faculty of Economics, University of Coimbra.
6. Chellathurai, Thamayanthi & Draviam, Thangaraj, 2007. "Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2168-2195, July.
7. Chang Shih-Chieh Bill & Tsai Chenghsien & Hung Li-Chuan, 2005. "Incorporating Foreign Equities in the Optimal Asset Allocation of an Insurer with the Consideration for Background Risks: Models and Numerical Illustrations," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-22, June.
8. W. Li & S. Wang, 2009. "Penalty Approach to the HJB Equation Arising in European Stock Option Pricing with Proportional Transaction Costs," Journal of Optimization Theory and Applications, Springer, vol. 143(2), pages 279-293, November.
9. Siu, Tak Kuen, 2023. "European option pricing with market frictions, regime switches and model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 233-250.
10. Thomas Poufinas, 2015. "On Transaction-Cost Models in Continuous-Time Markets," IJFS, MDPI, vol. 3(2), pages 1-34, April.
11. Zakamouline, Valeri I., 2006. "European option pricing and hedging with both fixed and proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 1-25, January.
12. Pedro Polvora & Daniel Sevcovic, 2021. "Utility indifference Option Pricing Model with a Non-Constant Risk-Aversion under Transaction Costs and Its Numerical Approximation," Papers 2108.12598, arXiv.org.
13. Palczewski, Jan & Poulsen, Rolf & Schenk-Hoppé, Klaus Reiner & Wang, Huamao, 2015. "Dynamic portfolio optimization with transaction costs and state-dependent drift," European Journal of Operational Research, Elsevier, vol. 243(3), pages 921-931.
14. Stefano Baccarin, 2019. "Static use of options in dynamic portfolio optimization under transaction costs and solvency constraints," Working papers 063, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
15. Yin Zhao & Tan Chang, 2014. "The Differential Algorithm for American Put Option with Transaction Costs under CEV Model," Journal of Systems Science and Information, De Gruyter, vol. 2(5), pages 401-410, October.
16. Maxim Bichuch, 2014. "Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment," Finance and Stochastics, Springer, vol. 18(3), pages 651-694, July.
17. Nicola Cantarutti & Jo~ao Guerra & Manuel Guerra & Maria do Ros'ario Grossinho, 2016. "Option pricing in exponential L\'evy models with transaction costs," Papers 1611.00389, arXiv.org, revised Nov 2019.
18. Konstantinos Skindilias & Chia Lo, 2015. "Local volatility calibration during turbulent periods," Review of Quantitative Finance and Accounting, Springer, vol. 44(3), pages 425-444, April.
19. Shota Imaki & Kentaro Imajo & Katsuya Ito & Kentaro Minami & Kei Nakagawa, 2021. "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging," Papers 2103.01775, arXiv.org.
20. Lai, Tze Leung & Lim, Tiong Wee, 2009. "Option hedging theory under transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 33(12), pages 1945-1961, December.
21. Alet Roux & Zhikang Xu, 2019. "Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs," Papers 1909.06260, arXiv.org, revised May 2021.
22. Terje Lensberg & Klaus Reiner Schenk-Hopp'e, 2013. "Hedging without sweat: a genetic programming approach," Papers 1305.6762, arXiv.org.
23. Jacques, Sébastien & Lai, Van Son & Soumaré, Issouf, 2011. "Synthetizing a debt guarantee: Super-replication versus utility approach," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 27-40, January.
24. 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).
25. Michael Monoyios, 2004. "Performance of utility-based strategies for hedging basis risk," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 245-255.
26. Lv, Longjin & Xiao, Jianbin & Fan, Liangzhong & Ren, Fuyao, 2016. "Correlated continuous time random walk and option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 100-107.