By the same authors

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

Research output: Working paper

Standard

Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs. / Roux, Alet.

2019.

Research output: Working paper

Harvard

Roux, A 2019 'Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs'.

APA

Roux, A. (2019). Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs.

Vancouver

Roux A. Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs. 2019.

Author

Roux, Alet. / Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs. 2019.

Bibtex - Download

@techreport{a5d436745aa0490992b50006bcf01a0c,
title = "Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs",
abstract = "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.",
keywords = "transaction costs, option pricing, utility maximisation, entropy, indifference pricing, generalised convex hull, dynamic programming",
author = "Alet Roux",
year = "2019",
language = "English",
type = "WorkingPaper",

}

RIS (suitable for import to EndNote) - Download

TY - UNPB

T1 - Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs

AU - Roux, Alet

PY - 2019

Y1 - 2019

N2 - 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.

AB - 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.

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

M3 - Working paper

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

ER -