We examine the intertemporal optimal portfolio selection and consumption rule of an investor with a constant relative risk aversion who faces proportional transaction costs when trading between a risk-free asset and N risky assets. The investor's objective is to maximize the total utility of...

Barrier options are considered for Asian options using a differential equation method. Solutions are obtained in the form of Fourier series for barriers which expand or contract as they approach maturity. Rigorous bounds are obtained. It is shown that by differentiating with respect to a...