Computation of reservation prices of options with proportional transaction costs

Journal of Economic Dynamics and Control

Volumn 30, Issue 3, 2006, Pages 415-444

  Damgaard, Anders ^a  

^a Danske Research   (Denmark)

Author keywords

Markov chain approximation; Optimal portfolio choice; Reservation prices of options; Singular stochastic control; Transaction costs; Viscosity solutions

Indexed keywords

EID: 32144446595     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2005.03.001     Document Type: Article

References (18)

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