Numerical computation for Bermuda reset option with proportional transaction costs

2010 3rd International Conference on Advanced Computer Theory and Engineering(ICACTE) ◽

10.1109/icacte.2010.5579386 ◽

2010 ◽

Author(s):

Jiangang Shen ◽

Zhe Chen ◽

Le Ding ◽

Shenghong Li

Keyword(s):

Transaction Costs ◽

Numerical Computation ◽

Proportional Transaction Costs ◽

Download Full-text

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 ◽

Download Full-text

Computational pricing for a special type of reset option with proportional transaction costs

2010 Second International Conference on Computational Intelligence and Natural Computing ◽

10.1109/cinc.2010.5643734 ◽

2010 ◽

Author(s):

Jiangang Shen ◽

Zhe Chen ◽

Le Ding ◽

Shenghong Li

Keyword(s):

Transaction Costs ◽

Proportional Transaction Costs ◽

Download Full-text

Penalty methods for continuous-time portfolio selection with proportional transaction costs

The Journal of Computational Finance ◽

10.21314/jcf.2010.221 ◽

2010 ◽

Vol 13 (3) ◽

pp. 1-31 ◽

Author(s):

Min Dai ◽

Yifei Zhong

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Continuous Time ◽

Penalty Methods ◽

Proportional Transaction Costs

Download Full-text

Multi-dimensional Portfolio Optimization with Proportional Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.563944 ◽

2004 ◽

Author(s):

Kumar Muthuraman ◽

Sunil Kumar

Keyword(s):

Transaction Costs ◽

Portfolio Optimization ◽

Proportional Transaction Costs

Download Full-text

Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2006.06.006 ◽

2007 ◽

Vol 31 (7) ◽

pp. 2168-2195 ◽

Author(s):

Thamayanthi Chellathurai ◽

Thangaraj Draviam

Keyword(s):

Optimal Control ◽

Control Theory ◽

Transaction Costs ◽

Portfolio Selection ◽

Stochastic Optimal Control ◽

Optimal Control Theory ◽

Proportional Transaction Costs ◽

Dynamic Portfolio

Download Full-text

American Options under Proportional Transaction Costs: Pricing, Hedging and Stopping Algorithms for Long and Short Positions

Acta Applicandae Mathematicae ◽

10.1007/s10440-008-9290-7 ◽

2008 ◽

Vol 106 (2) ◽

pp. 199-228 ◽

Author(s):

Alet Roux ◽

Tomasz Zastawniak

Keyword(s):

Transaction Costs ◽

American Options ◽

Proportional Transaction Costs

Download Full-text

Super-replication under proportional transaction costs: From discrete to continuous-time models

Mathematical Methods of Operations Research ◽

10.1007/s001860050099 ◽

1999 ◽

Vol 50 (2) ◽

pp. 297-320 ◽

Author(s):

Nizar Touzi

Keyword(s):

Transaction Costs ◽

Continuous Time ◽

Proportional Transaction Costs ◽

Continuous Time Models

Download Full-text

Optimal Investment and Contingent Claim Valuation With Exponential Disutility Under Proportional Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.3453265 ◽

2019 ◽

Author(s):

Alet Roux ◽

Zhikang Xu

Keyword(s):

Transaction Costs ◽

Optimal Investment ◽

Contingent Claim ◽

Proportional Transaction Costs ◽

Contingent Claim Valuation

Download Full-text

Robust hedging with proportional transaction costs

Finance and Stochastics ◽

10.1007/s00780-014-0227-x ◽

2014 ◽

Vol 18 (2) ◽

pp. 327-347 ◽

Author(s):

Yan Dolinsky ◽

H. Mete Soner

Keyword(s):

Transaction Costs ◽

Proportional Transaction Costs ◽

Download Full-text

Log-Optimal Portfolio-Selection Strategies with Proportional Transaction Costs

Advances in Computer Science and Engineering: Texts - Machine Learning for Financial Engineering ◽

10.1142/9781848168145_0003 ◽

2012 ◽

pp. 119-152 ◽

Author(s):

László Györfi ◽

Harro Walk

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Proportional Transaction Costs ◽

Selection Strategies ◽

Optimal Portfolio Selection

Download Full-text