Utility-indifference pricing of European options with proportional transaction costs.

Dong Yan Xiaoping Lu

Published in: J. Comput. Appl. Math. (2021)

Keyphrases

transaction costs
option pricing
black scholes model
double exponential
stock exchange
stock price
utility function
portfolio management
transaction cost economics
portfolio selection
search costs
decision making
co occurrence
expected utility
dynamic pricing