EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS (Q2746235)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS |
scientific article |
Statements
EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS (English)
0 references
20 November 2002
0 references
stochastic control
0 references
pricing of European options
0 references
short selling restrictions
0 references
transaction costs
0 references
stochastic impulse control
0 references
lower bounds of the hedging prices
0 references
0 references
