activity
20072024
most citedAmerican and Bermudan options in currency markets under proportional transaction costs

1 citations · 1 across the 10 of their papers we have counts for

collaborators
Showing 2019Show all

1 paper · 1 filter

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…