Pricing a European basket option in the presence of proportional transaction costs

Applied Mathematical Finance

Volumn 13, Issue 3, 2006, Pages 191-214

  Atkinson, C ^a   Alexandropoulos, C A ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Asymptotic expansion; Closed form solution; Hamilton Jacobi Bellman equation; Option pricing; Transaction costs; Utility function

Indexed keywords

EID: 33751571239     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860600563184     Document Type: Article

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