THE WRITING PRICE OF A EUROPEAN CONTINGENT CLAIM UNDER PROPORTIONAL TRANSACTION COSTS

被引：0

作者：

DAVIS, MHA ^{[1
]}

PANAS, VG ^{[1
]}

机构：

[1] UNIV LONDON IMPERIAL COLL SCI & TECHNOL, DEPT ELECT & ELECTR ENGN, LONDON SW7 2BT, ENGLAND

来源：

COMPUTATIONAL & APPLIED MATHEMATICS | 1994年 / 13卷 / 02期

关键词：

OPTION PRICING; BLACK-SCHOLES FORMULA; TRANSACTION COSTS; SINGULAR STOCHASTIC CONTROL; UTILITY MAXIMIZATION; MARKOV CHAIN APPROXIMATION; WEAK CONVERGENCE OF PROBABILITY MEASURES;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper examines computational aspects of an approach to the pricing of financial options in a continuous-time market model with transaction costs developed by Davis, Panas and Zariphopoulou [SIAM J. Control and Opt. 31 (1993) 470-493]. The approach is based on utility maximisation, and the model must be discretized for numerical computation. In this paper a suitable discretization scheme is defined and weak convergence of the discrete-time models to their continuous-time counterparts demonstrated. Numerical results are presented.

引用

页码：115 / 157

页数：43

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