Hedging Options with Transaction Costs

DOI10.1007/0-387-33815-2_12zbMath1114.91057OpenAlexW164531361MaRDI QIDQ5297392

W. Suo

Publication date: 18 July 2007

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/0-387-33815-2_12

zbMATH Keywords

viscosity solutionoptimal investment problemindirect utility functionHARA type utility function

Mathematics Subject Classification ID

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