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q-fin.MF2019
Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Alet Roux, Zhikang Xu
We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. Thi…
q-fin.MF2015
Pricing and hedging game options in currency models with proportional transaction costs
Alet Roux
The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient c…