Optimal exercise of American puts with transaction costs under utility maximization

作者：

Highlights：

• American option with transaction costs analysed through utility maximization.

• Effect of transaction costs on the option price and optimal exercise boundary.

• A comprehensive study of American option writing price with transaction costs.

• Sensitivity analysis of optimal exercise boundary to option parameters.

摘要

•American option with transaction costs analysed through utility maximization.•Effect of transaction costs on the option price and optimal exercise boundary.•A comprehensive study of American option writing price with transaction costs.•Sensitivity analysis of optimal exercise boundary to option parameters.

论文关键词：American option,Utility indifference pricing,Transaction costs,Hamilton–Jacobi–Bellman equation,Finite differences,Optimal boundary

论文评审过程：Received 5 February 2021, Revised 28 June 2021, Accepted 22 September 2021, Available online 13 October 2021, Version of Record 13 October 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126684