The writing price of a European contingent claim under proportional transaction costs (Q1340717)
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scientific article; zbMATH DE number 704200
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The writing price of a European contingent claim under proportional transaction costs |
scientific article; zbMATH DE number 704200 |
Statements
The writing price of a European contingent claim under proportional transaction costs (English)
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18 December 1994
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Black-Scholes formula
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singular stochastic control
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Markov chain approximation
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weak convergence of probability measures
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pricing of financial options
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continuous-time market model
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transaction costs
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discretization scheme
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0.8531823
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0.85008216
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0.8476877
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0.8468068
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0.83604634
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0.8343608
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