Option pricing in exponential Lévy models with transaction cost
Nicola Cantarutti, Manuel Guerra, João Guerra and Maria do Rosário Grossinho
| Year of publication: |
2020
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|---|---|
| Authors: | Cantarutti, Nicola ; Guerra, Manuel ; Guerra, João ; Grossinho, Maria do Rosário |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2020, 5, p. 1-31
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| Subject: | indifference pricing | transaction costs | Lévy processes | singular stochastic control | variational inequality | Markov chain approximation | Transaktionskosten | Transaction costs | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2020.384 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012295860