Option pricing with transaction costs using a Markov chain approximation

Journal of Economic Dynamics and Control

Volumn 28, Issue 5, 2004, Pages 889-913

  Monoyios, Michael ^a  

^a BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

Markov chain approximation; Option pricing; Singular stochastic control; Transaction costs; Utility maximisation

Indexed keywords

EID: 0142139188     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(03)00059-9     Document Type: Article

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