Add to ORKGFinancial markets often employ the use of securities, which are defined to be any kind of tradable f...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
Financial markets often employ the use of securities, which are defined to be any kind of tradable f...
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 ...
A fast numerical algorithm is developed to price European options with proportional transaction cost...
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 cos...
http://www.brunel.ac.uk/about/acad/sssl/ssslresearch/efwps##2002A fast numerical algorithm is develo...
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##2001An e cient algorithm is developed to...
In the classic option pricing theory, the market is assumed to be competitive. The relaxation of the...
Pricing options in a market with transaction costs is an important research topic in quantitative fi...
Financial markets often employ the use of securities, which are defined to be any kind of tradable f...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
Financial markets often employ the use of securities, which are defined to be any kind of tradable f...
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 ...
A fast numerical algorithm is developed to price European options with proportional transaction cost...
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 cos...
http://www.brunel.ac.uk/about/acad/sssl/ssslresearch/efwps##2002A fast numerical algorithm is develo...
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##2001An e cient algorithm is developed to...
In the classic option pricing theory, the market is assumed to be competitive. The relaxation of the...
Pricing options in a market with transaction costs is an important research topic in quantitative fi...
Financial markets often employ the use of securities, which are defined to be any kind of tradable f...
The virtue of an American option is that it can be exercised at any time. This right is particularly...
Financial markets often employ the use of securities, which are defined to be any kind of tradable f...