A spectral method for an optimal investment problem with transaction costs under potential utility (Q515774): Difference between revisions

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+Optimum consumption and portfolio rules in a continuous-time model
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+Portfolio selection with transactions costs
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+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
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+Numerical solution of an optimal investment problem with proportional transaction costs
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+Empirical Martingale Simulation for Asset Prices
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+A spectral method for bonds
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+Spectral Methods
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+Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
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+Option Pricing Under GARCH Processes Using PDE Methods
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+Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
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+Portfolio Selection with Transaction Costs
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+Optimal investment and consumption with transaction costs
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Q5505177
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+European Option Pricing with Transaction Costs
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