Add to ORKGIn this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
AbstractThe European option with transaction costs is studied. The cost of making a transaction is t...
A fast numerical algorithm is developed to price European options with proportional transaction cost...
The model presents the valuation of an American Put option by using a duplicating portfolio consisti...
A fast numerical algorithm is developed to price European options with proportional transaction cos...
The model presents the valuation of an American Put option by using a duplicating portfolio consisti...
http://www.brunel.ac.uk/about/acad/sssl/ssslresearch/efwps##2002A fast numerical algorithm is develo...
http://www.brunel.ac.uk/about/acad/sssl/ssslresearch/efwps##2001An e cient algorithm is developed to...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
We introduce a new utility-based approach to pricing European and American options. In so doing, we ...
AbstractThe European option with transaction costs is studied. The cost of making a transaction is t...
A fast numerical algorithm is developed to price European options with proportional transaction cost...
The model presents the valuation of an American Put option by using a duplicating portfolio consisti...
A fast numerical algorithm is developed to price European options with proportional transaction cos...
The model presents the valuation of an American Put option by using a duplicating portfolio consisti...
http://www.brunel.ac.uk/about/acad/sssl/ssslresearch/efwps##2002A fast numerical algorithm is develo...
http://www.brunel.ac.uk/about/acad/sssl/ssslresearch/efwps##2001An e cient algorithm is developed to...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges a...
The virtue of an American option is that it can be exercised at any time. This right is particularly...