On the number of deviations of geometric Brownian motion with drift from its extreme points with applications to transaction costs
type: Item
instance of: scholarly article
title: On the number of deviations of geometric Brownian motion with drift from its extreme points with applications to transaction costs
zbMATH Open document ID: 1171.60372
author: Thomas Poufinas
published in: Statistics \& Probability Letters
publication date: 2008-11-25T00:00:00Z
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 58J65
zbMATH DE Number: 5372847
zbMATH Keywords: geometric Brownian motion
zbMATH Keywords: modelling of transaction costs
MaRDI profile type: MaRDI publication profile
full work available at URL: j.spl.2008.05.008
OpenAlex ID: W2074974419
cites work: A Black--Scholes option pricing model with transaction costs
cites work: Utility based option evaluation with proportional transaction costs
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cites work: Numerical solution of SDE through computer experiments. Including floppy disk
cites work: Q4794152
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DOI: 10.1016/J.SPL.2008.05.008
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description: scientific article; zbMATH DE number 5372847