scientific article; zbMATH DE number 1254193

MaRDI QIDQ4227231zbMATH OpenFDO

Authors H. Julien, Alain Bensoussan

Publication date 19 May 1999

zbMATH Keywords

Black-Scholes approachfrictionsfrictions in financial marketsoption pricingportfoliowealth functionWiener process

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(6)

• Call option pricing and replication under economic friction
• The pricing of options for securities markets with delayed response
• OPTION PRICING WITH FEEDBACK EFFECTS
• A FORWARD LOOKING, SINGULAR PERTURBATION APPROACH TO PRICING OPTIONS UNDER MARKET UNCERTAINTY AND TRADING NOISE
• European option pricing with market frictions, regime switches and model uncertainty
• Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management

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