EUROPEAN OPTION PRICING WITH GENERAL TRANSACTION COSTS AND SHORT-SELLING CONSTRAINTS

DOI10.1081/STM-100002064zbMath0997.91038OpenAlexW3125033270MaRDI QIDQ2746235

Ajay Subramanian

Publication date: 20 November 2002

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/stm-100002064

zbMATH Keywords

stochastic controltransaction costsstochastic impulse controllower bounds of the hedging pricespricing of European optionsshort selling restrictions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (1)

Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions

Cites Work

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• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• European Option Pricing with Transaction Costs
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• Portfolio Selection with Transaction Costs

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