Pricing models with transaction fees

MaRDI QIDQ4227227zbMATH OpenFDO

Authors James E. Hodder, Thaleia Zariphopoulou

Publication date 23 February 1999

zbMATH Keywords

asset pricingmathematical financeportfolio managementsingular stochastic controlviscosity solutions

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

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• scientific article; zbMATH DE number 1487972

Cited in

(2)

• Free boundary problems in asset pricing with transaction costs
• Zero-level pricing method with transaction cost

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