European option pricing with transaction costs and trading restrictions

摘要：

In this paper, using the utility based option pricing approach,pioneered by Hodges and Neuberger, we propose a new model in a continuoustime 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.

关键词： Stochastic processes Pricing Control

作者: Xiaoqin Huang Xiaojie Liu

作者单位: College of SciencesHebei University of Science and TechnologyShijiazhuang, Hebei 050018, China Institute of Mathematics Shijiazhuang No.2 middle school Shijiazhuang, Hebei 050000, China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information Management and Engineering(2010年IEEE第二届信息管理与工程国际会议 IEEE ICIME 2010)

会议地点: 成都

会议语种:英文

页码: 1-5

在线出版日期: 2010-04-16（万方平台首次上网日期，不代表论文的发表时间）