Blar i NHH Brage på forfatter "Zakamouline, Valeri I."
-
American option pricing with transaction costs
Zakamouline, Valeri I. (Discussion paper, Working paper, 2003-10)In this paper we examine the problem of finding investors’ reservation option prices and corresponding early exercise policies of American-style options in the market with proportional transaction costs using the utility ... -
European option pricing and hedging with both fixed and proportional transaction costs
Zakamouline, Valeri I. (Discussion paper, Working paper, 2002-12)In this paper we extend the utility based option pricing and hedging approach, pioneered by Hodges and Neuberger (1989) and further developed by Davis, Panas, and Zariphopoulou (1993), for the market where each transaction ... -
Optimal portfolio selection with both fixed and proportional transaction costs for a CRRA investor with finite horizon
Zakamouline, Valeri I. (Discussion paper, Working paper, 2002-01)In this paper we study the optimal portfolio selection problem for a constant relative risk averse investor who faces fixed and proportional transaction costs and maximizes expected utility of end-of-period wealth. We use ... -
Optimal portfolio selection with transaction costs for a CARA investor with finite horizon
Zakamouline, Valeri I. (Discussion paper, Working paper, 2002-12)In this paper we study the optimal portfolio selection problem for a CARA investor who faces fixed and/or proportional transaction costs and maximizes expected utility of end-of-period wealth. We use a continuous time model ...