Option pricing with transaction costs using a Markov chain approximation (Q951502): Difference between revisions
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Revision as of 19:39, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing with transaction costs using a Markov chain approximation |
scientific article |
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Option pricing with transaction costs using a Markov chain approximation (English)
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24 October 2008
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option pricing
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transaction costs
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utility maximisation
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singular stochastic control
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Markov chain approximation
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