Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs

Roux, Alet orcid.org/0000-0001-9176-4468 and Xu, Zhikang (2022) Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs. International Journal of Theoretical and Applied Finance. ISSN 0219-0249

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Copyright, Publisher and Additional Information: This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details
Dates:
  • Accepted: 11 May 2022
  • Published (online): 12 July 2022
Institution: The University of York
Academic Units: The University of York > Faculty of Sciences (York) > Mathematics (York)
Depositing User: Pure (York)
Date Deposited: 15 Jun 2022 11:50
Last Modified: 06 Dec 2023 14:44
Published Version: https://doi.org/10.1142/S0219024922500170
Status: Published online
Refereed: Yes
Identification Number: https://doi.org/10.1142/S0219024922500170

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