Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Year of publication: |
2022
|
---|---|
Authors: | Roux, Alet ; Xu, Zhikang |
Subject: | dynamic programming | entropy | generalized convex hull | indifference pricing | option pricing | Transaction costs | utility maximization | Transaktionskosten | Optionspreistheorie | Option pricing theory | Dynamische Optimierung | Dynamic programming | Portfolio-Management | Portfolio selection | Hedging | Entropie | Entropy | Mathematische Optimierung | Mathematical programming |
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