Optimal exercise of American puts with transaction costs under utility maximization

2022 ◽  
Vol 415 ◽  
pp. 126684
Author(s):  
Xiaoping Lu ◽  
Dong Yan ◽  
Song-Ping Zhu
Keyword(s):  
Transaction Costs ◽  
Utility Maximization

scholarly journals Dual Formulation of the Utility Maximization Problem Under Transaction Costs

2001 ◽  
Vol 11 (4) ◽  
pp. 1353-1383 ◽  
Author(s):  
Griselda Deelstra ◽  
Huyên Pham ◽  
Nizar Touzi
Keyword(s):  
Transaction Costs ◽  
Utility Maximization ◽  
Maximization Problem ◽  
Dual Formulation ◽  
Utility Maximization Problem

scholarly journals Utility Maximization with Proportional Transaction Costs Under Model Uncertainty

2020 ◽  
Vol 45 (4) ◽  
pp. 1210-1236 ◽  
Author(s):  
Shuoqing Deng ◽  
Xiaolu Tan ◽  
Xiang Yu
Keyword(s):  
Dynamic Programming ◽  
Transaction Costs ◽  
Model Uncertainty ◽  
Utility Maximization ◽  
Exponential Utility ◽  
Market Condition ◽  
Maximization Problem ◽  
Proportional Transaction Costs ◽  
Utility Indifference ◽  
Basic Features

We consider a discrete time financial market with proportional transaction costs under model uncertainty and study a numéraire-based semistatic utility maximization problem with an exponential utility preference. The randomization techniques recently developed in Bouchard, Deng, and Tan [Bouchard B, Deng S, Tan X (2019) Super-replication with proportional transaction cost under model uncertainty. Math. Finance 29(3):837–860.], allow us to transform the original problem into a frictionless counterpart on an enlarged space. By suggesting a different dynamic programming argument than in Bartl [Bartl D (2019) Exponential utility maximization under model uncertainty for unbounded endowments. Ann. Appl. Probab. 29(1):577–612.], we are able to prove the existence of the optimal strategy and the convex duality theorem in our context with transaction costs. In the frictionless framework, this alternative dynamic programming argument also allows us to generalize the main results in Bartl [Bartl D (2019) Exponential utility maximization under model uncertainty for unbounded endowments. Ann. Appl. Probab. 29(1):577–612.] to a weaker market condition. Moreover, as an application of the duality representation, some basic features of utility indifference prices are investigated in our robust setting with transaction costs.

Utility Maximization Trading Two Futures with Transaction Costs

2013 ◽  
Vol 4 (1) ◽  
pp. 26-85 ◽  
Author(s):  
Maxim Bichuch ◽  
Steven Shreve
Keyword(s):  
Transaction Costs ◽  
Utility Maximization

Utility maximization on the real line under proportional transaction costs

2002 ◽  
Vol 6 (4) ◽  
pp. 495-516 ◽  
Author(s):  
Bruno Bouchard
Keyword(s):  
Transaction Costs ◽  
Real Line ◽  
Utility Maximization ◽  
Proportional Transaction Costs ◽  
The Real

Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

2021 ◽  
Vol 12 (4) ◽  
pp. SC115-SC125
Author(s):  
Erhan Bayraktar ◽  
Christoph Czichowsky ◽  
Leonid Dolinskyi ◽  
Yan Dolinsky
Keyword(s):  
Transaction Costs ◽  
Utility Maximization ◽  
Short Communication ◽  
Optimal Portfolios ◽  
Proportional Transaction Costs

FTAP in finite discrete time with transaction costs by utility maximization

2014 ◽  
Vol 18 (4) ◽  
pp. 805-823 ◽  
Author(s):  
Jörn Sass ◽  
Martin Smaga
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Utility Maximization
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