Stochastic Dominance Option Pricing II: Option Bounds Under Transaction Costs

Stochastic Dominance Option Pricing ◽

10.1007/978-3-030-11590-6_4 ◽

2019 ◽

pp. 111-175

Author(s):

Stylianos Perrakis

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Stochastic Dominance ◽

Download Full-text

A Note on Melnikov-Petrachenko Option Pricing in Binomial Market with Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.665283 ◽

2005 ◽

Author(s):

Alet Roux ◽

Tomasz Zastawniak

Keyword(s):

Option Pricing ◽

Transaction Costs

Download Full-text

A pseudospectral method for option pricing with transaction costs under exponential utility

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2021.113541 ◽

2021 ◽

Vol 394 ◽

pp. 113541

Author(s):

Javier de Frutos ◽

Víctor Gatón

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Pseudospectral Method ◽

Exponential Utility

Download Full-text

European option pricing problem with transaction costs in q-Gaussian process model

Applied Mathematical Sciences ◽

10.12988/ams.2021.914520 ◽

2021 ◽

Vol 15 (8) ◽

pp. 385-392

Author(s):

Li-Min Liu ◽

Yu-Lei Yan

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Gaussian Process ◽

Process Model ◽

European Option ◽

Gaussian Process Model ◽

European Option Pricing

Download Full-text

Stochastic Dominance Option Pricing: Empirical Applications

Stochastic Dominance Option Pricing ◽

10.1007/978-3-030-11590-6_5 ◽

2019 ◽

pp. 177-208

Author(s):

Stylianos Perrakis

Keyword(s):

Option Pricing ◽

Stochastic Dominance

Download Full-text

A stochastic dominance approach to evaluating alternative estimators of the variance for use in the Black-Scholes option pricing model

Applied Financial Economics ◽

10.1080/096031096334196 ◽

1996 ◽

Vol 6 (4) ◽

pp. 377-382

Author(s):

Haim Levy ◽

James A. Yoder

Keyword(s):

Option Pricing ◽

Stochastic Dominance ◽

Pricing Model ◽

Black Scholes ◽

Option Pricing Model

Download Full-text

Notice of Retraction A new kind of effective of algorithms for solving the option pricing model with transaction costs

Proceedings of 2011 International Conference on Electronic & Mechanical Engineering and Information Technology ◽

10.1109/emeit.2011.6023428 ◽

2011 ◽

Author(s):

Xiaozhong Yang ◽

Lifei Wu

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Pricing Model ◽

Option Pricing Model

Download Full-text

Option pricing by large risk aversion utility¶under transaction costs

Decisions in Economics and Finance ◽

10.1007/s102030170003 ◽

2001 ◽

Vol 24 (2) ◽

pp. 127-136 ◽

Author(s):

B. Bouchard ◽

Yu. M. Kabanov ◽

N. Touzi

Keyword(s):

Risk Aversion ◽

Option Pricing ◽

Transaction Costs

Download Full-text

Robust Control Approach to Option Pricing, Including Transaction Costs

Annals of the International Society of Dynamic Games - Advances in Dynamic Games ◽

10.1007/0-8176-4429-6_22 ◽

2007 ◽

pp. 391-416 ◽

Author(s):

Pierre Bernhard

Keyword(s):

Robust Control ◽

Option Pricing ◽

Transaction Costs ◽

Control Approach

Download Full-text

European option pricing with transaction costs and stochastic volatility: an asymptotic analysis

IMA Journal of Applied Mathematics ◽

10.1093/imamat/hxu033 ◽

2014 ◽

Vol 80 (4) ◽

pp. 981-1008 ◽

Author(s):

R. E. Caflisch ◽

G. Gambino ◽

M. Sammartino ◽

C. Sgarra

Keyword(s):

Asymptotic Analysis ◽

Option Pricing ◽

Transaction Costs ◽

Stochastic Volatility ◽

European Option ◽

European Option Pricing

Download Full-text

Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

10.3386/w8867 ◽

2002 ◽

Author(s):

George Constantinides ◽

Stylianos Perrakis

Keyword(s):

Transaction Costs ◽

Stochastic Dominance ◽

Proportional Transaction Costs

Download Full-text