European Option Pricing with Transaction Costs

DOI10.1137/0331022zbMath0779.90011OpenAlexW2175456627MaRDI QIDQ4695411

Mark H. A. Davis, V. G. Panas, Thaleia Zariphopoulou

Publication date: 21 July 1993

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/4809b2257e6fcdee2960544a19cbe01e47698998

zbMATH Keywords

Black-Scholes model transaction costs utility maximization European option pricing Markov chain approximation unique viscosity solutions nonlinear quasi-variational inequality

Mathematics Subject Classification ID

Variational inequalities (49J40) Partial differential inequalities and systems of partial differential inequalities (35R45) Economic growth models (91B62) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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