DocumentCode
2549473
Title
European option pricing with transaction costs and trading restrictions
Author
Huang, Xiaoqin ; Liu, Xiaojie
Author_Institution
Coll. of Sci., Hebei Univ. of Sci. & Technol., Shijiazhuang, China
fYear
2010
fDate
16-18 April 2010
Firstpage
679
Lastpage
683
Abstract
In this paper, using the utility based option pricing approach, pioneered by Hodges and Neuberger, we propose a new model in a continuous-time market with proportional transaction costs and several trading restrictions. According to this model, we study the problem of option pricing and prove that the value function of our model is a unique constrained viscosity solution of a HJB equation.
Keywords
pricing; stock markets; European option pricing; continuous-time market; trading restrictions; transaction costs; utility based option pricing; Bonding; Costs; Differential equations; Educational institutions; Filtration; Mathematical model; Mathematics; Pricing; Process control; Viscosity; Control; Pricing; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Management and Engineering (ICIME), 2010 The 2nd IEEE International Conference on
Conference_Location
Chengdu
Print_ISBN
978-1-4244-5263-7
Electronic_ISBN
978-1-4244-5265-1
Type
conf
DOI
10.1109/ICIME.2010.5477876
Filename
5477876
Link To Document