Computation of reservation prices of options with proportional transaction costs (Q956510)
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scientific article; zbMATH DE number 5373150
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| English | Computation of reservation prices of options with proportional transaction costs |
scientific article; zbMATH DE number 5373150 |
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Computation of reservation prices of options with proportional transaction costs (English)
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25 November 2008
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Markov chain approximation
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transaction costs
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reservation prices of options
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optimal portfolio choice
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singular stochastic control
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viscosity solutions
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0.8425061106681824
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0.8378288745880127
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0.8206831216812134
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0.812584400177002
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