Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment

Finance and Stochastics

Volumn 18, Issue 3, 2014, Pages 651-694

  Bichuch, Maxim ^a  

^a Worcester Polytechnic Institute   (United States)

Author keywords

Asymptotic analysis; Optimal control; Option pricing; Transaction costs; Utility maximization

Indexed keywords

EID: 84904510227     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-014-0233-z     Document Type: Article

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