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
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;
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
DOI :
10.1109/ICIME.2010.5477876
