Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Alet Roux, Zhikang Xu
| Year of publication: |
2022
|
|---|---|
| Authors: | Roux, Alet ; Xu, Zhikang |
| Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 25.2022, 4/5, Art.-No. 2250017, p. 1-45
|
| 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 | Stochastischer Prozess | Stochastic process | Entropie | Entropy |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024922500170 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013371223