Shadow prices for continuous processes
Christoph Czichowsky, Walter Schachermayer and Junjian Yang
| Year of publication: |
July 2017
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|---|---|
| Authors: | Czichowsky, Christoph ; Schachermayer, Walter ; Yang, Junjian |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 3, p. 623-658
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| Subject: | utility maximization | proportional transaction costs | convex duality | shadow prices | continuous price processes | Opportunitätskosten | Opportunity cost | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12103 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011764961