مرکز منطقه ای اطلاع رساني علوم و فناوري - Option pricing with transaction costs using a Markov chain approximation

Title of article :

Option pricing with transaction costs using a Markov chain approximation

Author/Authors :

Michael Monoyios، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2004

Pages :

From page :

889

To page :

913

Keywords :

Option Pricing , Utility maximisation , Transaction costs , Singular stochastic control , Markovchain approximation

Journal title :

Journal of Economic Dynamics and Control

Serial Year :

2004

Journal title :

Journal of Economic Dynamics and Control

Record number :

238642

Link To Document :