On reset option pricing in binomial market with both fixed and proportional transaction costs

Applied Mathematics and Computation ◽

10.1016/j.amc.2007.03.042 ◽

2007 ◽

Vol 193 (1) ◽

pp. 143-153 ◽

Author(s):

Chao Sun ◽

Jing-Yang Yang ◽

Sheng-Hong Li

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Proportional Transaction Costs ◽

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Utility based option pricing with proportional transaction costs and diversification problems: an interior-point optimization approach

Applied Numerical Mathematics ◽

10.1016/s0168-9274(98)00104-4 ◽

1999 ◽

Vol 29 (3) ◽

pp. 395-422 ◽

Author(s):

Erling D. Andersen ◽

Anders Damgaard

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Interior Point ◽

Optimization Approach ◽

Proportional Transaction Costs

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Foreign Currency Option Pricing with Both Fixed and Proportional Transaction Costs

2010 Third International Joint Conference on Computational Science and Optimization ◽

10.1109/cso.2010.148 ◽

2010 ◽

Author(s):

Wenli Huang ◽

Shonghong Li

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Foreign Currency ◽

Proportional Transaction Costs ◽

Currency Option ◽

Currency Option Pricing

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Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem

Applied Mathematics & Optimization ◽

10.1007/s00245-014-9276-y ◽

2014 ◽

Vol 72 (2) ◽

pp. 187-202 ◽

Author(s):

Naïma El Farouq ◽

Pierre Bernhard

Keyword(s):

Robust Control ◽

Option Pricing ◽

Transaction Costs ◽

Uniqueness Theorem ◽

Proportional Transaction Costs ◽

Control Approach ◽

The Uniqueness Theorem

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Foreign currency option pricing with proportional transaction costs

Applied Mathematics-A Journal of Chinese Universities ◽

10.1007/s11766-006-0002-7 ◽

2006 ◽

Vol 21 (4) ◽

pp. 383-396

Author(s):

Shujin Li ◽

Shenghong Li

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Foreign Currency ◽

Proportional Transaction Costs ◽

Currency Option ◽

Currency Option Pricing

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Linear Vector Optimization and European Option Pricing Under Proportional Transaction Costs

Set Optimization and Applications - The State of the Art - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-662-48670-2_5 ◽

2015 ◽

pp. 159-176 ◽

Author(s):

Alet Roux ◽

Tomasz Zastawniak

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Vector Optimization ◽

European Option ◽

Proportional Transaction Costs ◽

Linear Vector ◽

European Option Pricing ◽

Linear Vector Optimization

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Penalty Approach to the HJB Equation Arising in European Stock Option Pricing with Proportional Transaction Costs

Journal of Optimization Theory and Applications ◽

10.1007/s10957-009-9559-7 ◽

2009 ◽

Vol 143 (2) ◽

pp. 279-293 ◽

Author(s):

W. Li ◽

S. Wang

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Stock Option ◽

Hjb Equation ◽

Proportional Transaction Costs ◽

Penalty Approach

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Risk preference, option pricing and portfolio hedging with proportional transaction costs

Chaos Solitons & Fractals ◽

10.1016/j.chaos.2016.12.010 ◽

2017 ◽

Vol 95 ◽

pp. 111-130 ◽

Author(s):

Xiao-Tian Wang ◽

Zhe Li ◽

Le Zhuang

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Risk Preference ◽

Proportional Transaction Costs

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European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.471701 ◽

2003 ◽

Author(s):

Valeri Zakamouline

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

European Option ◽

Proportional Transaction Costs ◽

European Option Pricing

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European option pricing and hedging with both fixed and proportional transaction costs

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2004.11.002 ◽

2006 ◽

Vol 30 (1) ◽

pp. 1-25 ◽

Author(s):

Valeri I. Zakamouline

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

European Option ◽

Proportional Transaction Costs ◽

European Option Pricing

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European Option Pricing under Jump Diffusion with Proportional Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.2143949 ◽

2012 ◽

Author(s):

Haipeng Xing ◽

Yang Yu ◽

TiongWee Lim

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Jump Diffusion ◽

European Option ◽

Proportional Transaction Costs ◽

European Option Pricing

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