Computation of reservation prices of options with proportional transaction costs (Q956510)

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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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