European Option Pricing with Transaction Costs
摘要：
It is noted that pricing derivative securities in a market where risky and riskless assets can be traded is a problem which has been solved for complete markets and general functions of the underlying securities. If an investor pays transaction costs for trading in the risky securities the market is not complete and the investor's preferences must be taken into account in the pricing of such contingent claims. In the paper, this problem is transformed into a stochastic optimal control problem, which is solved by the method of dynamic programming. Computational results are obtained for the writing price, when the writer's risk aversion factor is wealth independent. The pricing of a European call option is determined by the proposed algorithm
展开
关键词：
dynamic programming investment optimal control stochastic systems European call option European option pricing derivative securities dynamic programming investment riskless assets
DOI：
10.1109/CDC.1991.261597
被引量：
年份：
1993
IEEEXplore
(全网免费下载)
ResearchGate
(全网免费下载)
ma.utexas.edu
(全网免费下载)
cvs.ma.utexas.edu
(全网免费下载)
wwwf.imperial.ac.uk
(全网免费下载)
通过文献互助平台发起求助，成功后即可免费获取论文全文。
相似文献
参考文献
引证文献
来源期刊
引用走势
辅助模式
引用
文献可以批量引用啦~
欢迎点我试用！
