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Optimal exercise of American puts with transaction costs under utility maximization.

Xiaoping LuDong YanSong-Ping Zhu
Published in: Appl. Math. Comput. (2022)
Keyphrases
  • utility maximization
  • transaction costs
  • utility function
  • stochastic gradient
  • optimal solution
  • data mining
  • cost function
  • optimal control
  • portfolio selection
  • sample path