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

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 ◽

Cited By ~ 22

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 ◽

Cited By ~ 6

Author(s):

Pierre Bernhard

Keyword(s):

Robust Control ◽

Option Pricing ◽

Transaction Costs ◽

Control Approach

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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 ◽

Cited By ~ 5

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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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 ◽

Cited By ~ 18

Author(s):

Erling D. Andersen ◽

Anders Damgaard

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Interior Point ◽

Optimization Approach ◽

Proportional Transaction Costs

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Energy-based assets: modelling, option pricing and delta hedging with transaction costs

International Journal of Sustainable Economy ◽

10.1504/ijse.2011.037718 ◽

2011 ◽

Vol 3 (1) ◽

pp. 20

Author(s):

Sovan Mitra

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Delta Hedging

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European option pricing with transaction costs and trading restrictions

2010 2nd IEEE International Conference on Information Management and Engineering ◽

10.1109/icime.2010.5477876 ◽

2010 ◽

Author(s):

Xiaoqin Huang ◽

Xiaojie Liu

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

European Option ◽

European Option Pricing ◽

Trading Restrictions

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Scaling and long-range dependence in option pricing I: Pricing European option with transaction costs under the fractional Black–Scholes model

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2009.09.041 ◽

2010 ◽

Vol 389 (3) ◽

pp. 438-444 ◽

Cited By ~ 41

Author(s):

Xiao-Tian Wang

Keyword(s):

Option Pricing ◽

Transaction Costs ◽

Long Range ◽

Long Range Dependence ◽

European Option ◽

Black Scholes Model ◽

Black Scholes

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