Search Results - subject:"Penalty methods"

A nonsmooth exact penalty method for equality-constrained optimization : complexity and implementation

Diouane, Youssef; Gollier, Maxence; Orban, Dominique - 2024

Persistent link: https://www.econbiz.de/10015101698

Utility indifference option pricing model with a non-constant risk-aversion under transaction costs and its numerical approximation

Pólvora, Pedro; Ševčovič, Daniel - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-12

Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions solving the system of HJB equations. We introduce the...

Persistent link: https://www.econbiz.de/10013201083

Utility indifference option pricing model with a non-constant risk-aversion under transaction costs and its numerical approximation

Pólvora, Pedro; Ševčovič, Daniel - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-12

Persistent link: https://www.econbiz.de/10012627673