European Option Pricing with Transaction Costs (Q4695411)
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scientific article; zbMATH DE number 205135
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | European Option Pricing with Transaction Costs |
scientific article; zbMATH DE number 205135 |
Statements
European Option Pricing with Transaction Costs (English)
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21 July 1993
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utility maximization
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Markov chain approximation
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European option pricing
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transaction costs
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Black-Scholes model
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unique viscosity solutions
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nonlinear quasi-variational inequality
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