Efficient option pricing with transaction costs
نویسندگان
چکیده
منابع مشابه
Efficient option pricing with transaction costs
proportional transaction costs using the utility-maximization framework of Davis (1997). This approach allows option prices to be computed by solving the investor’s basic portfolio selection problem without insertion of the option payoff into the terminal value function. The properties of the value function can then be used to drastically reduce the number of operations needed to locate the bou...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2003
ISSN: 1460-1559
DOI: 10.21314/jcf.2003.097