Computation of reservation prices of options with proportional transaction costs
DOI10.1016/j.jedc.2005.03.001zbMath1198.91207OpenAlexW3121586844MaRDI QIDQ956510
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2005.03.001
transaction costsviscosity solutionssingular stochastic controlMarkov chain approximationoptimal portfolio choicereservation prices of options
Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items (12)
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