Option pricing in the large risk aversion, small transaction cost limit (Q2931975)
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scientific article
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| default for all languages | No label defined |
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| English | Option pricing in the large risk aversion, small transaction cost limit |
scientific article |
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Option Pricing in the Large Risk Aversion, Small Transaction Cost Limit (English)
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28 November 2014
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free boundary problem
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singular perturbation
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stochastic singular control
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0.8320884704589844
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0.8320884704589844
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0.82464998960495
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0.8029440641403198
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