Option pricing with transaction costs using a Markov chain approximation (Q951502)
From MaRDI portal
![]() | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Option pricing with transaction costs using a Markov chain approximation |
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Option pricing with transaction costs using a Markov chain approximation |
scientific article |
Statements
Option pricing with transaction costs using a Markov chain approximation (English)
0 references
24 October 2008
0 references
option pricing
0 references
transaction costs
0 references
utility maximisation
0 references
singular stochastic control
0 references
Markov chain approximation
0 references