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• W3125895983 abstract "We consider indifference pricing of contingent claims consisting of payment flows in a discrete-time model with proportional transaction costs and under exponential disutility. This setting covers utility maximization of terminal wealth as a special case. A dual representation is obtained for the associated disutility minimization problem, together with a dynamic procedure for solving it. This leads to efficient and convergent numerical procedures for indifference pricing, optimal trading strategies and shadow prices that apply to a wide range of payoffs, a large range of time steps and all magnitudes of transaction costs." @default.
• W3125895983 created "2021-02-01" @default.
• W3125895983 creator A5091903711 @default.
• W3125895983 creator A5065315595 @default.
• W3125895983 date "2022-06-01" @default.
• W3125895983 modified "2023-09-26" @default.
• W3125895983 title "OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS" @default.
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• W3125895983 doi "https://doi.org/10.1142/s0219024922500170" @default.
• W3125895983 hasPublicationYear "2022" @default.
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