مرکز منطقه ای اطلاع رساني علوم و فناوري - Computation of reservation prices of options with proportional transaction costs

Title of article :

Computation of reservation prices of options with proportional transaction costs

Author/Authors :

Anders Damgaard، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

415

To page :

444

Keywords :

Markov chain approximation , Transaction costs , Reservation prices of options , Optimalportfolio choice , Singular stochastic control , Viscosity solutions

Journal title :

Journal of Economic Dynamics and Control

Serial Year :

2006

Journal title :

Journal of Economic Dynamics and Control

Record number :

238892

Link To Document :

https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=238892