Option pricing in exponential Lévy models with transaction cost
Year of publication: |
2020
|
---|---|
Authors: | Cantarutti, Nicola ; Guerra, Manuel ; Guerra, João ; Grossinho, Maria do Rosário |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2020, 5, p. 1-31
|
Subject: | indifference pricing | transaction costs | Lévy processes | singular stochastic control | variational inequality | Markov chain approximation | Stochastischer Prozess | Stochastic process | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Martingal | Martingale |
-
Bouchard, Bruno, (2000)
-
European option pricing under geometric Lévy processes with proportional transaction costs
Xing, Haipeng, (2017)
-
Roux, Alet, (2022)
- More ...
-
Mathematical control theory and finance
Sarychev, Andrey, (2008)
-
Numerical Study of the Merton PIDE in Option Pricing
Cantarutti, Nicola, (2020)
-
Mathématiques et économie : une approche historique
Bismans, Francis, (2021)
- More ...