Pricing a European Basket Option in the Presence of Proportional Transaction Costs (Q3424325)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing a European Basket Option in the Presence of Proportional Transaction Costs |
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Pricing a European Basket Option in the Presence of Proportional Transaction Costs (English)
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15 February 2007
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option pricing
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transaction costs
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utility function
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asymptotic expansion
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Hamilton-Jacobi-Bellman equation
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closed form solution
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