Utility maximization in a binomial model with transaction costs : a duality approach based on the shadow price process
Christian Bayer and Bezirgen Veliyev
| Year of publication: |
2014
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|---|---|
| Authors: | Bayer, Christian ; Veliyev, Bezirgen |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 4, p. 1-27
|
| Subject: | Utility maximation | binomial model | transaction costs | duality methods | Transaktionskosten | Transaction costs | Opportunitätskosten | Opportunity cost | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Nutzen | Utility | Duales Optimierungsproblem | Dual optimization problem |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010391519