Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (Q453370): Difference between revisions

@@ Property / author @@
-Jing-Yang Yang
@@ Property / author: Jing-Yang Yang / rank @@
-Normal rank
@@ Property / author @@
-Sheng-Hong Li
@@ Property / author: Sheng-Hong Li / rank @@
-Normal rank
@@ Property / author @@
+Jing-Yang Yang
@@ Property / author: Jing-Yang Yang / rank @@
+Normal rank
@@ Property / author @@
+Sheng-Hong Li
@@ Property / author: Sheng-Hong Li / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11766-011-2294-5
+Normal rank
@@ Property / OpenAlex ID @@
+W1971381832
@@ Property / OpenAlex ID: W1971381832 / rank @@
+Normal rank
@@ Property / cites work @@
+Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
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+On dynamic measure of risk
@@ Property / cites work: On dynamic measure of risk / rank @@
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+A closed-form solution to the problem of super-replication under transaction costs
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+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
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+Portfolio Selection with Transaction Costs
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+European Option Pricing with Transaction Costs
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+A note on super-replicating strategies
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+Q4218383
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+Numerical Methods for Stochastic Control Problems in Continuous Time
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+Q4218394
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+Numerical Methods for Stochastic Singular Control Problems
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+Optimum consumption and portfolio rules in a continuous-time model
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+Optimal investment and consumption with transaction costs
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+There is no nontrivial hedging portfolio for option pricing with transaction costs
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+A variational inequality arising from European option pricing with transaction costs
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