Path-dependent options and transaction costs

DOI10.1098/rsta.1994.0061zbMath0822.90021OpenAlexW1982720668MaRDI QIDQ4698069

Paul Wilmott, A. Elizabeth Whalley, J. N. Dewynne

Publication date: 14 May 1995

Published in: Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.1994.0061

zbMATH Keywords

transaction costsexotic option pricing

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

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