The writing price of a European contingent claim under proportional transaction costs
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Publication:1340717
zbMath0813.90007MaRDI QIDQ1340717
Publication date: 18 December 1994
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
transaction costssingular stochastic controlBlack-Scholes formuladiscretization schemeMarkov chain approximationweak convergence of probability measurescontinuous-time market modelpricing of financial options
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