Option pricing in exponential Lévy models with transaction costs

The Journal of Computational Finance ◽

10.21314/jcf.2020.384 ◽

2020 ◽

Author(s):

Nicola Cantarutti ◽

Manuel Guerra ◽

João Guerra ◽

Maria do Rosário Grossinho

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Exponential Lévy Models

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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

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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

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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

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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

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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

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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

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Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2019.01.044 ◽

2019 ◽

Vol 357 ◽

pp. 146-160 ◽

Author(s):

Jiayong Bao ◽

Yuexu Zhao

Keyword(s):

Option Pricing ◽

Interest Rates ◽

Stochastic Interest Rates ◽

Stochastic Interest ◽

Exponential Lévy Models ◽

Markov Modulated

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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

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A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

SIAM Journal on Numerical Analysis ◽

10.1137/s0036142903436186 ◽

2005 ◽

Vol 43 (4) ◽

pp. 1596-1626 ◽

Author(s):

Rama Cont ◽

Ekaterina Voltchkova

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Jump Diffusion ◽

Exponential Lévy Models

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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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