Utility based option evaluation with proportional transaction costs

Journal of Economic Dynamics and Control

Volumn 27, Issue 4, 2003, Pages 667-700

  Damgaard, Anders ^a  

^a Danske Research   (Denmark)

Author keywords

Optimal porfolio choice; Reservation prices of options; Singular stochastic control; Transaction costs; Viscosity solutions

Indexed keywords

EID: 0037290029     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(01)00068-9     Document Type: Article

References (30)

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