Anders Damgaard
University of Southern Denmark
2 Papers
33 Citations
Anders Damgaard is an academic researcher from University of Southern Denmark. The author has contributed to research in topics: Stochastic programming & Diversification (finance). The author has an hindex of 2, co-authored 2 publications. Previous affiliations of Anders Damgaard include Odense University.
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Papers
Utility based option pricing with proportional transaction costs and diversification problems: an interior-point optimization approach
TL;DR: In this paper, the reservation price of an option in an economy with more than one risky security and where trade involves transaction costs is examined. And the authors suggest an approach to compute reservation prices using convex optimization.
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Utility Based Option Pricing with Proportional Transaction Costs and Diversification Problems: An Interior-Point Optimization Approach
TL;DR: In this article, the authors proposed an approach to compute the reservation price of an option in an economy with more than one risky security and where trade involves transaction costs, and investigated to what extent the above mentioned simplifications affect the reservation prices.
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