Option pricing with transaction costs using a Markov chain approximation (Q951502)
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scientific article; zbMATH DE number 5356929
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| English | Option pricing with transaction costs using a Markov chain approximation |
scientific article; zbMATH DE number 5356929 |
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Option pricing with transaction costs using a Markov chain approximation (English)
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24 October 2008
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option pricing
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transaction costs
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utility maximisation
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singular stochastic control
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Markov chain approximation
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