Asymptotics for fixed transaction costs

Finance and Stochastics

Volumn 19, Issue 2, 2015, Pages 363-414

  Altarovici, Albert ^a   Muhle Karbe, Johannes ^a   Soner, Halil Mete ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Asymptotic expansions; Fixed transaction costs; Homogenization; Optimal investment and consumption; Viscosity solutions

Indexed keywords

EID: 84925494176     PISSN: 09492984     EISSN: 14321122     Source Type: Journal    
DOI: 10.1007/s00780-015-0261-3     Document Type: Article

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