By the same authors

Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs

Research output: Working paper

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Publication details

DateUnpublished - 2019
Original languageEnglish


We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. This setting covers utility maximisation as a special case. A dual representation is obtained for the associated disutility minimisation problem, together with a dynamic procedure for solving it. This leads to an efficient and convergent numerical procedure for indifference pricing which applies to a wide range of payoffs, a large range of time steps and all magnitudes of transaction costs.

    Research areas

  • transaction costs, option pricing, utility maximisation, entropy, indifference pricing, generalised convex hull, dynamic programming

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