Computation of reservation prices of options with proportional transaction costs (Q956510)
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scientific article; zbMATH DE number 5373150
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computation of reservation prices of options with proportional transaction costs |
scientific article; zbMATH DE number 5373150 |
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Computation of reservation prices of options with proportional transaction costs (English)
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25 November 2008
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Markov chain approximation
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transaction costs
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reservation prices of options
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optimal portfolio choice
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singular stochastic control
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viscosity solutions
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