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scientific article; zbMATH DE number 6193743 - MaRDI portal

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Publication:5326973

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zbMath1268.91161arXivmath/0702828MaRDI QIDQ5326973

Tzuu-Shuh Chiang, Shang-Yuan Shiu, Shuenn-Jyi Sheu

Publication date: 1 August 2013

Full work available at URL: https://arxiv.org/abs/math/0702828

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

dynamic programming stochastic control portfolio optimization transaction cost duality method pricing derivatives price system

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

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