Option pricing by large risk aversion utility under transaction costs
B. Bouchard; Yu. M. Kabanov; N. Touzi
| Year of publication: |
2001
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|---|---|
| Authors: | Bouchard, Bruno ; Kabanov, Jurij M. ; Touzi, Nizar |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 24.2001, 2, p. 127-136
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| Subject: | Optionspreistheorie | Option pricing theory | Risikoaversion | Risk aversion | Transaktionskosten | Transaction costs | Nutzenfunktion | Utility function | Theorie | Theory | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: Decisions in economics and finance |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001683843