Computation of reservation prices of options with proportional transaction costs (Q956510): Difference between revisions
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Latest revision as of 09:57, 10 December 2024
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English | Computation of reservation prices of options with proportional transaction costs |
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Computation of reservation prices of options with proportional transaction costs (English)
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25 November 2008
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Markov chain approximation
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transaction costs
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reservation prices of options
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optimal portfolio choice
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singular stochastic control
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viscosity solutions
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