scientific article; zbMATH DE number 1487972

zbMATH Open1037.91058MaRDI QIDQ4495101FDOQ4495101

Authors: Thaleia Zariphopoulou 

Publication date: 2000

Title of this publication is not available (Why is that?)

Recommendations

• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS
• Portfolio management with transaction costs
• Optimal portfolio selection with transaction costs

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controltransaction costsviscosity solutionsoptimal portfolio managementvaluation of derivative assets

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cited In (8)

• Free boundary problems in asset pricing with transaction costs
• Annuitization and asset allocation
• OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS
• Minimizing the lifetime shortfall or shortfall at death
• A computational scheme for optimal investment - consumption with proportional transaction costs
• A comparison of transaction costs on Xetra and on Nasdaq
• Minimizing the probability of lifetime ruin under borrowing constraints
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹

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