TY  - JOUR 
AU  - Frutos Baraja, Francisco Javier de
AU  - Gatón, Víctor
PY  - 2021
UR  - https://uvadoc.uva.es/handle/10324/65468
AB  - This paper concerns the design of a Fourier based pseudospectral numerical method for the model of European option pricing with transaction costs under exponential utility derived by Davis, Panas and Zariphopoulou in Davis et al. (1993). Computing the...
LA  - spa
TI  - A pseudospectral method for Option Pricing with Transaction Costs under Exponential Utility
DO  - https://doi.org/10.1016/j.cam.2021.113541
ER  -