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 the normal view instead:
scientific article; zbMATH DE number 5356929
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Option pricing with transaction costs using a Markov chain approximation |
scientific article; zbMATH DE number 5356929 |
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
0 references
0.8693414926528931
0 references
0.8447648286819458
0 references
0.8412492275238037
0 references
0.8291215300559998
0 references
